IDEAS home Printed from
   My bibliography  Save this paper

Efficient pricing options under regime switching


  • Oleg Kudryavtsev

    () (MATHFI - Financial mathematics - Inria Paris-Rocquencourt - Inria - Institut National de Recherche en Informatique et en Automatique - ENPC - École des Ponts ParisTech - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12)


In the paper, we propose two new efficient methods for pricing barrier option in wide classes of Lévy processes with/without regime switching. Both methods are based on the numerical Laplace transform inversion formulae and the Fast Wiener-Hopf factorization method developed in Kudryavtsev and Levendorski\v{i} (Finance Stoch. 13: 531--562, 2009). The first method uses the Gaver-Stehfest algorithm, the second one -- the Post-Widder formula. We prove the advantage of the new methods in terms of accuracy and convergence by using Monte-Carlo simulations.

Suggested Citation

  • Oleg Kudryavtsev, 2010. "Efficient pricing options under regime switching," Working Papers inria-00450291, HAL.
  • Handle: RePEc:hal:wpaper:inria-00450291
    Note: View the original document on HAL open archive server:

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. James E Duggan & Robert Gillingham & John S Greenlees, 2008. "Mortality and Lifetime Income: Evidence from U.S. Social Security Records," IMF Staff Papers, Palgrave Macmillan, vol. 55(4), pages 566-594, December.
    2. Angus Deaton, 2003. "Health, Inequality, and Economic Development," Journal of Economic Literature, American Economic Association, vol. 41(1), pages 113-158, March.
    3. Mathieu Lefebvre & Pierre Pestieau & Gregory Ponthiere, 2013. "Measuring poverty without the Mortality Paradox," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 40(1), pages 285-316, January.
    4. Ravi Kanbur & Diganta Mukherjee, 2007. "Premature Mortality And Poverty Measurement," Bulletin of Economic Research, Wiley Blackwell, vol. 59(4), pages 339-359, October.
    5. Sen, Amartya, 1998. "Mortality as an Indicator of Economic Success and Failure," Economic Journal, Royal Economic Society, vol. 108(446), pages 1-25, January.
    6. Fields, Gary S. & Ok, Efe A., 1996. "The Meaning and Measurement of Income Mobility," Journal of Economic Theory, Elsevier, vol. 71(2), pages 349-377, November.
    7. repec:dau:papers:123456789/451 is not listed on IDEAS
    8. Christian Schluter & Dirk Van de gaer, 2011. "Upward Structural Mobility, Exchange Mobility, And Subgroup Consistent Mobility Measurement: U.S.–German Mobility Rankings Revisited," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 57(1), pages 1-22, March.
    9. Hoy, Michael & Zheng, Buhong, 2011. "Measuring lifetime poverty," Journal of Economic Theory, Elsevier, vol. 146(6), pages 2544-2562.
    10. Mathieu Lefebvre & Pierre Pestieau & Grégory Ponthière, 2017. "FGT Old-Age Poverty Measures and the Mortality Paradox: Theory and Evidence," Post-Print halshs-01630662, HAL.
    11. Backlund, Eric & Sorlie, Paul D. & Johnson, Norman J., 1999. "A comparison of the relationships of education and income with mortality: the national longitudinal mortality study," Social Science & Medicine, Elsevier, vol. 49(10), pages 1373-1384, November.
    Full references (including those not matched with items on IDEAS)

    More about this item


    Lévy processes; barrier options; regime switching models; Wiener-Hopf factorization; Laplace transform; numerical methods; numerical transform inversion;

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:inria-00450291. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.