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Search: subject:"Trinomial tree method"
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Jump-diffusion model
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Option pricing
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Price of regime switching risk
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Yang, H
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Yuen, FL
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Option pricing in a jump-diffusion model with regime switching
Yuen, FL
;
Yang, H
-
2009
multi-regime case. We present a
trinomial
tree
method
to price options in the extended model. Our results show that the …
trinomial
tree
method
in this paper is an effective method; it is very fast and easy to implement. Compared with the existing …
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