Convergence rates of trinomial tree methods for option pricing under regime-switching models

DOI10.1016/j.aml.2014.07.020zbMath1320.91158OpenAlexW1980010879MaRDI QIDQ2343665

Jingtang Ma, Tengfei Zhu

Publication date: 6 May 2015

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2014.07.020

zbMATH Keywords

convergence ratesoption pricingregime switchingtrinomial tree methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Laplace transform methods for a free boundary problem of time-fractional partial differential equation system ⋮ A spectral element method for option pricing under regime-switching with jumps ⋮ A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes ⋮ Integral equation characterization of the Feynman-Kac formula for a regime-switching diffusion ⋮ Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates ⋮ Convergence rate of regime-switching trees ⋮ Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching ⋮ Pricing American options under multi-state regime switching with an efficientL- stable method ⋮ The pricing and hedging of an attainable claim in a hybrid Black-Scholes model under regime switching ⋮ A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes ⋮ Non-recombining trinomial tree pricing model and calibration for the volatility smile ⋮ An alternative tree method for calibration of the local volatility

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