Convergence rate of regime-switching trees

DOI10.1016/J.CAM.2016.12.033zbMATH Open1358.41009OpenAlexW2562755812MaRDI QIDQ515751FDOQ515751

Authors: Yong-Cai Geng, Sumit K. Garg 

Publication date: 16 March 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.12.033

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zbMATH Keywords

discretizationrate of convergenceregime-switching Black-Scholes

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Rate of convergence, degree of approximation (41A25)

Cites Work

• Investment guarantees: Modeling and risk management for equity-linked life insurance
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Information and option pricings
• A Regime-Switching Model of Long-Term Stock Returns
• A new exact solution for pricing European options in a two-state regime-switching economy
• Option valuation by a self-exciting threshold binomial model
• A tree approach to options pricing under regime-switching jump diffusion models
• NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
• A European option general first-order error formula
• A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
• Convergence rates of trinomial tree methods for option pricing under regime-switching models
• A lattice method for option pricing with two underlying assets in the regime-switching model
• Option pricing with regime switching by trinomial tree method
• Option convergence rate with geometric random walks approximations
• Regime-switching recombining tree for option pricing

Cited In (5)

• On the rate of convergence of discrete-time contingent claims.
• A spectral element method for option pricing under regime-switching with jumps
• Spectral properties of trinomial trees
• A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
• A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes

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