Convergence rate of regime-switching trees
Considering a general class of regime-switching geometric random walks and a broad class of piecewise twice differentiable payoff functions, we show that convergence of option prices occurs at a speed of order (-ᵝ), where β = 1∕2 when the payoff is discontinuous and β = 1 otherwise.
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| Format: | article |
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2016
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| Online Access: | http://hdl.handle.net/11073/16663 |
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