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Polynomial approximation to option prices under regime switching
Recurso electrónico / electronic resource
MAP20130027524
Tang, Yunfan ‌
Polynomial approximation to option prices under regime switching / Yunfan Tang
Sumario: 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
En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 03/06/2013 Tomo 17 Número 2 - 2013
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