A lattice method for option pricing with two underlying assets in the regime-switching model
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics
Reference41 articles.
1. Option pricing, a simplified approach;Cox;Journal of Financial Economics,1979
2. A lattice framework for option pricing with two state variables;Boyle;Journal of Financial and Quantitative Analysis,1988
3. Numerical evaluation of multivariate contingent claims;Boyle;The Review of Financial Studies,1989
4. A lattice approach for pricing of multivariate contingent claims;Ekvall;European Journal of Operational Research,1996
5. A simple approach for pricing equlty options with Markov switching state variables;Aingworth;Quantitative Finance,2006
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