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A lattice method for option evaluation with regime-switching asset correlation structure (Q1983725)

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scientific article; zbMATH DE number 7394162
Language Label Description Also known as
English
A lattice method for option evaluation with regime-switching asset correlation structure
scientific article; zbMATH DE number 7394162

    Statements

    title
    A lattice method for option evaluation with regime-switching asset correlation structure (English)
    0 references
    publication date
    10 September 2021
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    zbMATH Keywords
    option evaluation
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    lattice method
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    regime-switching
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    correlation switching
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    transition probabilities
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    60H30
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    60J20
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    62F10
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    62P05
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    91G20
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    zbMATH DE Number
    7394162
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    OpenAlex ID
    W3123001959
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    DOI
    10.3934/JIMO.2020042
    0 references
     
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