Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method

DOI10.1080/10920277.2010.10597588zbMath1219.91145MaRDI QIDQ3088977

Hailiang Yang, Fei Lung Yuen

Publication date: 23 August 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2010.10597588

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

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