A lattice method for option pricing with two underlying assets in the regime-switching model
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Publication:2448349
DOI10.1016/j.cam.2013.02.012zbMath1285.91143MaRDI QIDQ2448349
Publication date: 30 April 2014
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.2013.02.012
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
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