A recombining tree method for option pricing with state-dependent switching rates
J.X. Jiang (School of Systems and Enterprises, Stevens Institute of Technology, Hudson, NJ, USA), R.H. Liu (Department of Mathematics, University of Dayton, Dayton, OH, USA), D. Nguyen (Department of Mathematics, Marist College, Poughkeepsie, NY, USA)
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Jiang, J. X. ; Liu, Rui Hua ; Nguyen, D. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 2, p. 1-26
|
| Subject: | Regime-switching models | recombining trees | option pricing | jump diffusions | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500126 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011455022