Methods for Pricing American Options under Regime Switching
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Computational Mathematics
Link
http://epubs.siam.org/doi/pdf/10.1137/110820920
Reference33 articles.
1. Accurate Evaluation of European and American Options Under the CGMY Process
2. Markov models for commodity futures: theory and practice
3. Valuation of Convertible Bonds With Credit Risk
4. Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
5. PRICING ASIAN OPTIONS FOR JUMP DIFFUSION
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