Option pricing with regime switching by trinomial tree method

Journal of Computational and Applied Mathematics

Volumn 233, Issue 8, 2010, Pages 1821-1833

  Yuen, Fei Lung ^a   Yang, Hailiang ^a  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Exotic options; Hedging risk of regime switching; Option pricing; Regime switching; Trinomial method

Indexed keywords

EXOTIC OPTION; OPTION PRICING; REGIME SWITCHING; REGIME SWITCHING MODEL; RISK NEUTRAL PROBABILITY MEASURE; TREE METHOD; TREE MODELS; TREE STRUCTURES; TRINOMIAL METHOD;

COSTS; ECONOMICS; MULTIRESOLUTION ANALYSIS; RESOURCE VALUATION;

SWITCHING;

EID: 70450284562     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2009.09.019     Document Type: Article

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