This paper considers the valuation of exotic options (i.e. digital, barrier, and lookback options) in a Markovian, regime-switching, Black-Scholes model. In Fourier space, analytical expressions forâ€¦ (More)

The probability of a stochastic process to first breach an upper and/or a lower level is an important quantity for optimal control and risk management. We present those probabilities for regimeâ€¦ (More)

Required in a wide range of applications in, e.g., finance, engineering, and physics, first-passage time problems have attracted considerable interest over the past decades. Since analyticalâ€¦ (More)

An efficient Monte-Carlo simulation for the pricing of barrier options in a Markov-switching model is presented. Compared to a brute-force approach, relying on the simulation of discretizedâ€¦ (More)

We analyze the e ects of a prevailing low interest rates regime on investment decisions of insurance companies and on the risk/return pro le of participating life insurance policies with di erentâ€¦ (More)

The probability of a Brownian motion with drift to remain between two constant barriers (for some period of time) is known explicitly. In mathematical finance, this and related results are required,â€¦ (More)

Imposing a symmetry condition on returns, Carr and Lee [2009] show that (double) barrier derivatives can be replicated by a portfolio of European options and can thus be priced using fast Fourierâ€¦ (More)