On a Markov chain approximation method for option pricing with regime switching

DOI10.3934/jimo.2016.12.529zbMath1325.91052OpenAlexW2555605061MaRDI QIDQ747024

Yang Shen, Kun Fan, Tak Kuen Siu, Rong-Ming Wang

Publication date: 22 October 2015

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2016.12.529

zbMATH Keywords

option pricingregime switchingMarkov chain approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis

Cites Work

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