Saddlepoint approximations to option price in a regime-switching model
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Publication:300691
DOI10.1007/s10436-015-0272-2zbMath1398.91622OpenAlexW2215450291MaRDI QIDQ300691
Publication date: 28 June 2016
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-015-0272-2
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Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing, Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
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