A tree approach to options pricing under regime-switching jump diffusion models

2015 ◽  
Vol 92 (12) ◽  
pp. 2575-2595 ◽  
Author(s):  
R.H. Liu ◽  
D. Nguyen
Keyword(s):  
Regime Switching ◽  
Jump Diffusion ◽  
Diffusion Models ◽  
Options Pricing ◽  
Tree Approach

scholarly journals Option pricing under regime-switching jump–diffusion models

2014 ◽  
Vol 256 ◽  
pp. 152-167 ◽  
Author(s):  
Massimo Costabile ◽  
Arturo Leccadito ◽  
Ivar Massabó ◽  
Emilio Russo
Keyword(s):  
Option Pricing ◽  
Regime Switching ◽  
Jump Diffusion ◽  
Diffusion Models
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