Regime-Switching Recombining Tree For Option Pricing

By R. Liu. 2010

63 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/28640df7d0737d781772e570c49ea3b73f03f3e2

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In Finance

1. Alessandro Ramponi

Citations in the corpus

• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020, unknown): “…(Weron et al. 2004), short rates (Siu 2010), portfolio selection (Zhang et al. 2012), and option pricing (Elliott et al. 2007; Yuen and Yang 2009; Liu 2010; Ramponi 2012; Zhang et al. 2012; Fard and Siu 2013; Florescu et al. 2013; Costabile et al. 2014; Jiang et al. 2016; Elliott et al. 2005;…”
• FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (2011, background): “…and Zhang (2004), Chourdakis (2004,2007), Edwards (2005), Liu et al. (2006), Yao et al. (2006), Jobert and Rogers 1 (2006), Elliott and Osakwe (2006), Jiang and Pistorius (2008), Boyarchenko and Levendorskii (2009), Khaliq and Liu (2009), Di Graziano and Rogers (2009), Ramponi (2009), Liu (2010).”