Saddlepoint approximations to option price in a regime-switching model

DOI10.1007/s10436-015-0272-2zbMath1398.91622OpenAlexW2215450291MaRDI QIDQ300691

Mengzhe Zhang, Leunglung Chan

Publication date: 28 June 2016

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-015-0272-2

zbMATH Keywords

regime switching modelsaddlepoint methodcall optionMarkov-modulated geometric Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing ⋮ Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models

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