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    • Convergence rate of regime-switching trees 

      Leduc, Guillaume; Zeng, Xiangchen (Elseveir, 2016)
      Considering a general class of regime-switching geometric random walks and a broad class of piecewise twice differentiable payoff functions, we show that convergence of option prices occurs at a speed of order 𝒪 (𝑛-ᵝ), ...