Polynomial approximation to option prices under regime switching

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<title>Polynomial approximation to option prices under regime switching</title>
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<namePart>Tang, Yunfan</namePart>
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<abstract displayLabel="Summary">In this article we obtain the option pricing results using a polynomial approximation. A continuous-time Markov chaingoverned volatility and return underlie the stock price generating process. We give European and lookback option prices under various conditions as well as discuss the precision and efficiency of our approach compared to other methods. The approximation methods are applicable for arbitrary regime settings and prove to be fast and accurate with multiple regimes.</abstract>
<note type="statement of responsibility">Yunfan Tang</note>
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
<identifier type="local">MAP20077000239</identifier>
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<text>03/06/2013 Tomo 17 Número 2 - 2013 </text>
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