Option valuation by a self-exciting threshold binomial model
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Publication:462735
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
regime switching; option valuation; self-exciting; binomial models; threshold principle; trinomial extensions
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
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