REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING

DOI10.1142/S0219024910005863zbMath1233.91284MaRDI QIDQ3580220

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Publication date: 11 August 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityoption pricingregime-switching modelrecombining tree

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (27)

FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS ⋮ Laplace transform methods for a free boundary problem of time-fractional partial differential equation system ⋮ Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model ⋮ A new tree method for pricing financial derivatives in a regime-switching mean-reverting model ⋮ A spectral element method for option pricing under regime-switching with jumps ⋮ An integral equation approach for pricing American put options under regime-switching model ⋮ A new simple tree approach for the Heston's stochastic volatility model ⋮ Moving mesh methods for pricing Asian options with regime switching ⋮ A lattice method for option pricing with two underlying assets in the regime-switching model ⋮ Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes ⋮ Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates ⋮ Convergence rate of regime-switching trees ⋮ Computing American option price under regime switching with rationality parameter ⋮ NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS ⋮ A local radial basis function method for pricing options under the regime switching model ⋮ Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching ⋮ A new efficient numerical method for solving American option under regime switching model ⋮ Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models ⋮ Pricing American options under multi-states: a radial basis collocation approach ⋮ A RECOMBINING TREE METHOD FOR OPTION PRICING WITH STATE-DEPENDENT SWITCHING RATES ⋮ Pricing American options under multi-state regime switching with an efficientL- stable method ⋮ A tree approach to options pricing under regime-switching jump diffusion models ⋮ Optimal stopping of switching diffusions with state dependent switching rates ⋮ Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing ⋮ A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes ⋮ Pricing and hedging performance on pegged FX markets based on a regime switching model ⋮ Convergence rates of trinomial tree methods for option pricing under regime-switching models

Cites Work

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