A tree approach to options pricing under regime-switching jump diffusion models
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Publication:2804506
DOI10.1080/00207160.2015.1073266zbMath1335.91106OpenAlexW1824079376MaRDI QIDQ2804506
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Publication date: 29 April 2016
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2015.1073266
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Related Items (7)
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps ⋮ A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes ⋮ Weather derivatives pricing using regime switching model ⋮ Convergence rate of regime-switching trees ⋮ A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models ⋮ A local radial basis function method for pricing options under the regime switching model ⋮ A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes
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