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Option pricing with regime switching by trinomial tree method · Study

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ArticleOption pricing with regime switching by trinomial tree method

Fei Lung Yuen2009

OA

Articlebronze2009

Option pricing with regime switching by trinomial tree method

Fei Lung Yuen · Hailiang Yang

118 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

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References

1973The Pricing of Options and Corporate Liabilities 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1979Option pricing: A simplified approach 1990Hedging of contingent claims under incomplete information 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets 2002AMERICAN OPTIONS WITH REGIME SWITCHING

Cited by

2011Methods for Pricing American Options under Regime Switching 2012Integer-valued Lévy processes and low latency financial econometrics 2013Option pricing under regime-switching jump–diffusion models 2018COS method for option pricing under a regime-switching model with time-changed Lévy processes 2011Recombining Trinomial Tree for Real Option Valuation with Changing Volatility 2013Option Valuation Under a Double Regime‐Switching Model

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2009Option Pricing in a Jump-Diffusion Model with Regime Switchingarticle · 14 shared references 2008A game theoretic approach to option valuation under Markovian regime-switching modelsarticle · 12 shared references 2009Pricing Annuity Guarantees Under a Regime-Switching Modelarticle · 11 shared references 2010Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Methodarticle · 10 shared references 2007Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Modelarticle · 9 shared references 2018COS method for option pricing under a regime-switching model with time-changed Lévy processesarticle · 9 shared references

Details

Year2009

Typearticle

Published2009-09-23

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations118

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2009.09.019

openalex_workW2015487345

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2015A new efficient numerical method for solving American option under regime switching model

2016A high order finite element scheme for pricing options under regime switching jump diffusion processes