Regime-switching recombining tree for option pricing
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A Regime-Switching Model of Long-Term Stock Returns
- A simple approach for pricing equity options with Markov switching state variables
- AFFINE LATTICE MODELS
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Asymptotics of the price oscillations of a European call option in a tree model
- Binomial models in finance.
- Double barrier option under regime-switching exponential mean-reverting process
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- Hybrid switching diffusions. Properties and applications
- Martingale methods in financial modelling.
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis
- Option pricing: A simplified approach
- Pricing exotic options under regime switching
- Smooth convergence in the binomial model
- Stochastic calculus for finance. I: The binomial asset pricing model.
- Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
- The rate of convergence of the binomial tree scheme
Cited in
(38)- 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 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
- A spectral element method for option pricing under regime-switching with jumps
- A new simple tree approach for the Heston's stochastic volatility model
- 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
- Convergence rates of trinomial tree methods for option pricing under regime-switching models
- Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
- A lattice method for option pricing with two underlying assets in the regime-switching model
- Option pricing with regime switching by trinomial tree method
- A recombining tree method for option pricing with state-dependent switching rates
- Pricing American options under multi-state regime switching with an efficient \(L\)-stable method
- A tree approach to options pricing under regime-switching jump diffusion models
- Optimal stopping of switching diffusions with state dependent switching rates
- Recombining tree for regime-switching model: algorithm and weak convergence
- Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options
- A tree-based method to price American options in the Heston model
- Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- Pricing and hedging performance on pegged FX markets based on a regime switching model
- 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
- Polynomial approximation to option prices under regime switching
- An integral equation approach for pricing American put options under regime-switching model
- Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model
- A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis
- A generalized integral equation formulation for pricing American options under regime-switching model
- A generalized approach for pricing American options under a regime-switching model
- Markov chain approximation approach to European option pricing in the presence of proportional transaction costs and regime-switching
- Pricing American options under multi-states: a radial basis collocation approach
- Numerical approximations to invariant measures of hybrid stochastic differential equations with superlinear coefficients via the backward Euler-Maruyama method
- Approximating stochastic volatility by recombinant trees
- Moving mesh methods for pricing Asian options with regime switching
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