1. For algorithm analysis of the CTMC approximation method;E G See;Jobert and Rogers,1993
2. Then the RHS of (17) will yield an ldimensional row vector of European call option prices with the l strike prices. Moreover, it is straightforward to extend the pricing formula to other European-type options. References Abate;� � � For L ? N Simultaneously ; � � � , R, N = 1, � � �;Note that by modifying (17) slightly, we can obtain the European option prices for multiple strikes K 1,1992
3. Regime changes and financial markets;A Ang;Annual Review of Financial Economics,2012