A recombining tree method for option pricing with state-dependent switching rates (Q2800054)
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scientific article; zbMATH DE number 6568919
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A recombining tree method for option pricing with state-dependent switching rates |
scientific article; zbMATH DE number 6568919 |
Statements
14 April 2016
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regime-switching models
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recombining trees
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option pricing
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jump diffusions
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0.9278748
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0.9132067
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0.89514685
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0.8848659
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0.8807514
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0.87666255
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0.86856276
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0.86658305
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A recombining tree method for option pricing with state-dependent switching rates (English)
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