Computing American option price under regime switching with rationality parameter
نویسندگان
چکیده
منابع مشابه
Option pricing under regime switching
This paper develops a family of option pricing models when the underlying stock price dynamic is modelled by a regime switching process in which prices remain in one volatility regime for a random amount of time before switching over into a new regime. Our family includes the regime switching models of Hamilton (Hamilton J 1989 Econometrica 57 357–84), in which volatility influences returns. In...
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ژورنال
عنوان ژورنال: Computers & Mathematics with Applications
سال: 2016
ISSN: 0898-1221
DOI: 10.1016/j.camwa.2016.05.026