A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
type: Item
instance of: scholarly article
title: A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
zbMATH Open document ID: 1254.91726
author: Yanyan Li
published in: Nonlinear Analysis. Real World Applications
publication date: 2012-12-28T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6118803
zbMATH Keywords: numerical methods for stochastic nonlinear systems
zbMATH Keywords: regime-switching mean-reverting model
zbMATH Keywords: binomial tree
zbMATH Keywords: financial derivative
MaRDI profile type: Publication
full work available at URL: j.nonrwa.2012.03.006
OpenAlex ID: W2041072183
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DOI: 10.1016/J.NONRWA.2012.03.006
description: scientific article; zbMATH DE number 6118803