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Polynomial approximation to option prices under regime switching

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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1001 ‎$0‎MAPA20130011752‎$a‎Tang, Yunfan
24510‎$a‎Polynomial approximation to option prices under regime switching‎$c‎Yunfan Tang
520  ‎$a‎In this article we obtain the option pricing results using a polynomial approximation. A continuous-time Markov chaingoverned volatility and return underlie the stock price generating process. We give European and lookback option prices under various conditions as well as discuss the precision and efficiency of our approach compared to other methods. The approximation methods are applicable for arbitrary regime settings and prove to be fast and accurate with multiple regimes.
7730 ‎$w‎MAP20077000239‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-‎$x‎1092-0277‎$g‎03/06/2013 Tomo 17 Número 2 - 2013