A RECOMBINING TREE METHOD FOR OPTION PRICING WITH STATE-DEPENDENT SWITCHING RATES

DOI10.1142/S0219024916500126zbMath1337.91102MaRDI QIDQ2800054

No author found.

Publication date: 14 April 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

option pricingregime-switching modelsjump diffusionsrecombining trees

Mathematics Subject Classification ID

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

Related Items (5)

A unified approach to Bermudan and barrier options under stochastic volatility models with jumps ⋮ A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes ⋮ Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates ⋮ Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models ⋮ A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Lean trees -- a general approach for improving performance of lattice models for option pricing
• Hybrid switching diffusions. Properties and applications
• Option pricing with regime switching by trinomial tree method
• REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING
• NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS

This page was built for publication: A RECOMBINING TREE METHOD FOR OPTION PRICING WITH STATE-DEPENDENT SWITCHING RATES