On a Markov chain approximation method for option pricing with regime switching (Q747024)

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On a Markov chain approximation method for option pricing with regime switching
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    title
    On a Markov chain approximation method for option pricing with regime switching (English)
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    author
    Kun Fan
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    Yang Shen
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    Tak Kuen Siu
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    Rong-Ming Wang
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    publication date
    22 October 2015
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    Mathematics Subject Classification ID
    91G20
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    91G60
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    60J20
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    zbMATH DE Number
    6497452
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    zbMATH Keywords
    option pricing
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    regime switching
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    Markov chain approximation
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