Convergence rates of trinomial tree methods for option pricing under regime-switching models
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Publication:2343665
DOI10.1016/j.aml.2014.07.020zbMath1320.91158OpenAlexW1980010879MaRDI QIDQ2343665
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
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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