REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING (Q3580220)

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REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING
scientific article

    Statements

    title
    REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING (English)
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    publication date
    11 August 2010
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    zbMATH Keywords
    regime-switching model
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    recombining tree
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    option pricing
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    stochastic volatility
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G60
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    60H30
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    zbMATH DE Number
    5769265
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