Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends
Jingtang Ma, Jiacheng Fan
| Year of publication: |
July 2016
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|---|---|
| Authors: | Ma, Jingtang ; Fan, Jiacheng |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 37.2016, p. 128-147
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| Subject: | Option pricing | Known cash dividends | Binomial trees | Convergence rates | Regime-switching models | Optionspreistheorie | Option pricing theory | Dividende | Dividend | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2016.03.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011672905