A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
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Publication:1926230
DOI10.1016/j.nonrwa.2012.03.006zbMath1254.91726MaRDI QIDQ1926230
Publication date: 28 December 2012
Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.nonrwa.2012.03.006
binomial tree; financial derivative; numerical methods for stochastic nonlinear systems; regime-switching mean-reverting model
91G20: Derivative securities (option pricing, hedging, etc.)
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