Option valuation by a self-exciting threshold binomial model

DOI10.1016/j.mcm.2012.07.014zbMath1297.91139MaRDI QIDQ462735

Hailiang Yang, Fei Lung Yuen, Tak Kuen Siu

Publication date: 21 October 2014

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2012.07.014

zbMATH Keywords

regime switching; option valuation; self-exciting; binomial models; threshold principle; trinomial extensions

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model, A self-exciting threshold jump-diffusion model for option valuation, Convergence rate of regime-switching trees, Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles, Randomized binomial tree and pricing of American-style options

Cites Work

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• AMERICAN OPTIONS WITH REGIME SWITCHING
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