Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates

DOI10.1080/00207160.2017.1285021zbMath1390.91321OpenAlexW2580267337MaRDI QIDQ4641555

Jingtang Ma, Hongji Tang, Song-Ping Zhu

Publication date: 17 May 2018

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=7572&context=eispapers

zbMATH Keywords

option pricingfinite difference methodsregime-switching modelstrinomial tree methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical analysis or methods applied to Markov chains (65C40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Pricing European options under stochastic looping contagion risk model ⋮ A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes ⋮ Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing ⋮ A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes

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