Yuen, Fei Lung, Yang, Hailiang (2010) Option Pricing with Regime Switching by Trinomial Tree Method. Journal of Computational and Applied Mathematics, 233 (8). pp. 1821-1833. ISSN 0377-0427. (doi:10.1016/j.cam.2009.09.019) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:97117)
| The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. | |
| Official URL: https://doi.org/10.1016/j.cam.2009.09.019 |
Abstract
We present a fast and simple tree model to price simple and exotic options in Markov Regime Switching Model (MRSM) with multi-regime. We modify the trinomial tree model of Boyle (1986) [12] by controlling the risk neutral probability measure in different regime states to ensure that the tree model can accommodate the data of all different regimes at the same time preserving its combining tree structure. In MRSM, the market might not be complete, therefore we provide some ideas and discussions on managing the regime switching risk in support of our results.
| Item Type: | Article |
|---|---|
| DOI/Identification number: | 10.1016/j.cam.2009.09.019 |
| Subjects: | Q Science > QA Mathematics (inc Computing science) |
| Divisions: | Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science |
| Depositing User: | Kevin Yuen |
| Date Deposited: | 28 Sep 2022 13:19 UTC |
| Last Modified: | 29 Sep 2022 11:50 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/97117 (The current URI for this page, for reference purposes) |
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