Convergence rates of trinomial tree methods for option pricing under regime-switching models

DOI10.1016/j.aml.2014.07.020zbMath1320.91158OpenAlexW1980010879MaRDI QIDQ2343665

Jingtang Ma, Tengfei Zhu

Publication date: 6 May 2015

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2014.07.020

zbMATH Keywords

convergence ratesoption pricingregime switchingtrinomial tree methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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