Polynomial Approximation to Option Prices under Regime Switching

DOI10.1080/10920277.2013.813836zbMath1412.91223OpenAlexW2005574920MaRDI QIDQ5742644

Yunfan Tang

Publication date: 15 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2013.813836

zbMATH Keywords

polynomial approximationEuropean option priceslookback option pricesMarkov chain-governed volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Holomorphic, polynomial and rational approximation, and interpolation in several complex variables; Runge pairs (32E30) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Pricing exotic options under a high-order Markovian regime switching model
• Pricing exotic options under regime switching
• Optimal investment and consumption with transaction costs
• Multivariate polynomial approximation
• Stochastic calculus for finance. II: Continuous-time models.
• Option pricing with regime switching by trinomial tree method
• AMERICAN OPTIONS WITH REGIME SWITCHING
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Option pricing under regime switching

This page was built for publication: Polynomial Approximation to Option Prices under Regime Switching