On a Markov chain approximation method for option pricing with regime switching
type: Item
instance of: scholarly article
title: On a Markov chain approximation method for option pricing with regime switching
zbMATH Open document ID: 1325.91052
author: Kun Fan
author: Yang Shen
author: Tak Kuen Siu
author: Rongming Wang
published in: Journal of Industrial and Management Optimization
publication date: 2015-10-22T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 60J20
zbMATH DE Number: 6497452
zbMATH Keywords: option pricing
zbMATH Keywords: regime switching
zbMATH Keywords: Markov chain approximation
MaRDI profile type: Publication
full work available at URL: jimo.2016.12.529
OpenAlex ID: W2555605061
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DOI: 10.3934/JIMO.2016.12.529
description: scientific article; zbMATH DE number 6497452