A simple approach for pricing equity options with Markov switching state variables

By Donald Aingworth, Sanjiv Ranjan Das, Rajeev Motwani. 2006

53 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/c41010d9ca92d543d2c0f51eb2732996d15658d4

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In Finance

1. R. Liu
2. Abdul Khaliq
3. Alessandro Ramponi

Citations in the corpus

• New Numerical Scheme for Pricing American Option with Regime-Switching (2009, background): “Aingworth et al. (2006) showed that the number of nodes at the kth step is ( k + 2m − 1 2m − 1 ) = O(k2m−1).”