Option pricing with regime switching by trinomial tree method

DOI10.1016/j.cam.2009.09.019zbMath1181.91315MaRDI QIDQ2654191

Hailiang Yang, Fei Lungyuen

Publication date: 15 January 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2009.09.019

zbMATH Keywords

option pricing; regime switching; exotic options; hedging risk of regime switching; trinomial method

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

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