A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes

DOI10.1016/j.cam.2019.06.002zbMath1422.91676OpenAlexW2954161874WikidataQ127751711 ScholiaQ127751711MaRDI QIDQ2315924

Ali Foroush Bastani, Zaniar Ahmadi, Mohammed Hosseini Ali Abadi

Publication date: 26 July 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.06.002

zbMATH Keywords

option pricingtrinomial treeregime-switching mean-reverting modelconditional branching probabilities

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

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Cites Work

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