REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING
Author:
Affiliation:
1. Department of Mathematics, University of Dayton, 300 College Park, Dayton, OH 45469-2316, USA
Abstract
Publisher
World Scientific Pub Co Pte Lt
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.worldscientific.com/doi/pdf/10.1142/S0219024910005863
Reference29 articles.
1. A simple approach for pricing equity options with Markov switching state variables
2. AFFINE LATTICE MODELS
3. Valuing Options in Regime-Switching Models
4. Pricing exotic options under regime switching
5. AMERICAN OPTIONS WITH REGIME SWITCHING
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