Option pricing with regime switching by trinomial tree method
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Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A simple approach for pricing equity options with Markov switching state variables
- AMERICAN OPTIONS WITH REGIME SWITCHING
- An explicit finite difference approach to the pricing of barrier options
- Approximation pricing and the variance-optimal martingale measure
- Explicit solutions to European options in a regime-switching economy
- scientific article; zbMATH DE number 17495 (Why is no real title available?)
- scientific article; zbMATH DE number 1222796 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- Information and option pricings
- Lean trees -- a general approach for improving performance of lattice models for option pricing
- Multinomial Approximating Models for Options with k State Variables
- On Minimization and Maximization of Entropy in Various Disciplines
- Option pricing and Esscher transform under regime switching
- Option pricing: A simplified approach
- Pricing exotic options under regime switching
- Pricing of new securities in an incomplete market: The catch 22 of no-arbitrage pricing
- The minimal entropy martingale measure and the valuation problem in incomplete markets
- The pricing of options and corporate liabilities
Cited in
(58)- A path-independent method for barrier option pricing in hidden Markov models
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- Efficient lattice method for valuing of options with barrier in a regime switching model
- Hybrid Laplace transform and finite difference methods for pricing American options under complex models
- Pricing convertible bonds with credit risk under regime switching and numerical solutions
- 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
- Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
- The pricing and hedging of an attainable claim in a hybrid Black-Scholes model under regime switching
- A semi-analytic valuation of American options under a two-state regime-switching economy
- A spectral element method for option pricing under regime-switching with jumps
- A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
- A new simple tree approach for the Heston's stochastic volatility model
- Optimal selling strategies under regime-switching market environment with finite expiry
- Building recombining trinomial trees for time-homogeneous diffusion processes
- 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
- Pricing options based on trinomial Markov tree
- Convergence rates of trinomial tree methods for option pricing under regime-switching models
- On pricing options with stressed-beta in a reduced form model
- 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
- Variance swap pricing under Markov-modulated jump-diffusion model
- Differential quadrature parallel algorithms for solving systems of convection-diffusion and reaction models
- A recombining tree method for option pricing with state-dependent switching rates
- Pricing American options under multi-state regime switching with an efficient \(L\)-stable method
- A tree approach to options pricing under regime-switching jump diffusion models
- Integer-valued Lévy processes and low latency financial econometrics
- Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method
- Recombining tree for regime-switching model: algorithm and weak convergence
- Regime-switching recombining tree for option pricing
- COS method for option pricing under a regime-switching model with time-changed Lévy processes
- A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
- PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES
- Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates
- A front-fixing finite element method for the valuation of American options with regime switching
- scientific article; zbMATH DE number 7267415 (Why is no real title available?)
- Convergence rate of regime-switching trees
- Finite maturity American-style stock loans with regime-switching volatility
- Computing American option price under regime switching with rationality parameter
- Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
- Polynomial approximation to option prices under regime switching
- A high order finite element scheme for pricing options under regime switching jump diffusion processes
- Iterative weak approximation and hard bounds for switching diffusion
- An integral equation approach for pricing American put options under regime-switching model
- Projection and contraction method for the valuation of American options under regime switching
- Barrier option pricing in regime switching models with rebates
- A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
- Primal-dual active set algorithm for valuating American options under regime switching
- A generalized integral equation formulation for pricing American options under regime-switching model
- Learning and Index Option Returns
- A generalized approach for pricing American options under a regime-switching model
- Mean-semivariance optimal portfolios in discrete time using a game-theoretic approach
- Markov chain approximation approach to European option pricing in the presence of proportional transaction costs and regime-switching
- Option pricing for barrier options under a regime-switching mixed fractional Brownian motion with jumps model
- Pricing American options under multi-states: a radial basis collocation approach
- On a Markov chain approximation method for option pricing with regime switching
- Moving mesh methods for pricing Asian options with regime switching
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