A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes (Q2315924)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes |
scientific article |
Statements
A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes (English)
0 references
26 July 2019
0 references
option pricing
0 references
regime-switching mean-reverting model
0 references
trinomial tree
0 references
conditional branching probabilities
0 references
