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Pricing cliquet options by tree methods
Gaudenzi, Marcellino; Zanette, Antonino - In: Computational Management Science 8 (2011) 1, pp. 125-135
Persistent link: https://www.econbiz.de/10008925144
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A reduced lattice model for option pricing under regime-switching
Costabile, Massimo; Leccadito, Arturo; Massabo, Ivar; … - In: Review of quantitative finance and accounting 42 (2014) 4, pp. 667-690
Persistent link: https://www.econbiz.de/10010433525
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A moments and strike matching binomial algorithm for pricing American Put options
Jourdain, Benjamin; Zanette, Antonino - In: Decisions in Economics and Finance 31 (2008) 1, pp. 33-49
Persistent link: https://www.econbiz.de/10005396193
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A reduced lattice model for option pricing under regime-switching
Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar; … - In: Review of Quantitative Finance and Accounting 42 (2014) 4, pp. 667-690
We present a binomial approach for pricing contingent claims when the parameters governing the underlying asset process follow a regime-switching model. In each regime, the asset dynamics is discretized by a Cox–Ross–Rubinstein lattice derived by a simple transformation of the parameters...
Persistent link: https://www.econbiz.de/10010989604
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Computationally simple lattice methods for option and bond pricing
Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar - In: Decisions in Economics and Finance 32 (2009) 2, pp. 161-181
Persistent link: https://www.econbiz.de/10005015141