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

DOI10.3934/jimo.2020042zbMath1476.91217OpenAlexW3123001959MaRDI QIDQ1983725

Christoforidou Amalia, Christian-Oliver Ewald

Publication date: 10 September 2021

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2020042

zbMATH Keywords

transition probabilitiesregime-switchinglattice methodcorrelation switchingoption evaluation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Point estimation (62F10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Option pricing under regime switching