Recombining tree for regime-switching model: algorithm and weak convergence

MaRDI QIDQ3094159zbMATH OpenFDO

Authors

Publication date 21 October 2011

Full work available at URL http://ebooks.worldscinet.com/ISBN/9789814355711/9789814355711_0008.html

zbMATH Keywords

multinomial treeoption pricingregime-switching modelweak convergence

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(6)

• 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
• Option pricing with regime switching by trinomial tree method
• Regime-switching recombining tree for option pricing
• Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates
• Convergence rate of regime-switching trees

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