A regime-switching model for European options

International Series in Operations Research and Management Science

Volumn 94, Issue , 2006, Pages 282-300

  Yao, David D ^a   Zhang, Qing ^b   Zhou, Xun Yu ^c  

^a Department of Earth and Environmental Sciences   (United States)

^b UNIVERSITY OF GEORGIA   (United States)

^c CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Option pricing; Regime switching; Successive approximations; Volatility smile and term structure

Indexed keywords

EID: 79953089210     PISSN: 08848289     EISSN: None     Source Type: Book Series    
DOI: None     Document Type: Chapter

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