Browsing by Author "97c83281-1e18-41f7-8a7c-475336c91f53"
Now showing items 1-1 of 1
-
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), ...