REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING
From MaRDI portal
Publication:3580220
DOI10.1142/S0219024910005863zbMath1233.91284MaRDI QIDQ3580220
No author found.
Publication date: 11 August 2010
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
91G60: Numerical methods (including Monte Carlo methods)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates, Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes, Pricing and hedging performance on pegged FX markets based on a regime switching model, NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS, An integral equation approach for pricing American put options under regime-switching model, Convergence rate of regime-switching trees, Computing American option price under regime switching with rationality parameter, Pricing American options under multi-states: a radial basis collocation approach, Moving mesh methods for pricing Asian options with regime switching, Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model, A new tree method for pricing financial derivatives in a regime-switching mean-reverting model, A local radial basis function method for pricing options under the regime switching model, Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching, A new efficient numerical method for solving American option under regime switching model, Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models, A spectral element method for option pricing under regime-switching with jumps, A new simple tree approach for the Heston's stochastic volatility model, Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing, A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes, Convergence rates of trinomial tree methods for option pricing under regime-switching models, Laplace transform methods for a free boundary problem of time-fractional partial differential equation system, A lattice method for option pricing with two underlying assets in the regime-switching model, A RECOMBINING TREE METHOD FOR OPTION PRICING WITH STATE-DEPENDENT SWITCHING RATES, Pricing American options under multi-state regime switching with an efficientL- stable method, A tree approach to options pricing under regime-switching jump diffusion models, Optimal stopping of switching diffusions with state dependent switching rates, FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS
Cites Work
- Unnamed Item
- Martingale methods in financial modelling.
- Binomial models in finance.
- Pricing exotic options under regime switching
- Hybrid switching diffusions. Properties and applications
- The rate of convergence of the binomial tree scheme
- Stochastic calculus for finance. I: The binomial asset pricing model.
- Smooth convergence in the binomial model
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis
- Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
- Double barrier option under regime-switching exponential mean-reverting process
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- AFFINE LATTICE MODELS
- Asymptotics of the price oscillations of a European call option in a tree model
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing: A simplified approach
- A simple approach for pricing equity options with Markov switching state variables
- A Regime-Switching Model of Long-Term Stock Returns