Convergence rate of regime-switching trees

DOI10.1016/j.cam.2016.12.033zbMath1358.41009OpenAlexW2562755812MaRDI QIDQ515751

Yong-Cai Geng, Sumit K. Garg

Publication date: 16 March 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.12.033

zbMATH Keywords

discretizationrate of convergenceregime-switching Black-Scholes

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Rate of convergence, degree of approximation (41A25)

Related Items (3)

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 ⋮ A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes

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