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Option pricing with regime switching by trinomial tree method

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References

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1998

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Valuing Options in Regime-Switching Models

231 cited

Cited by

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2011Recombining Trinomial Tree for Real Option Valuation with Changing Volatility34 cited
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2015A new efficient numerical method for solving American option under regime switching model32 cited
2016A high order finite element scheme for pricing options under regime switching jump diffusion processes31 cited
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2013Pricing foreign equity options with regime-switching30 cited
2019Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing28 cited