Pricing options based on trinomial Markov tree

DOI10.1155/2014/624360zbMath1422.91775OpenAlexW2153417808WikidataQ59039464 ScholiaQ59039464MaRDI QIDQ2321462

Cui Lihua, Cao Jie, Du Tao, Hu Xiaoping, Guo Jiafeng

Publication date: 23 August 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/624360

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option pricing under a normal mixture distribution derived from the Markov tree model
• Option pricing with regime switching by trinomial tree method
• Multinomial Approximating Models for Options with k State Variables
• CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
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