Browsing College of Arts and Sciences (CAS) by Subject "Regime-switching Black–Scholes"
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Convergence rate of regime-switching trees
(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), ...