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.
محفوظ في:
| المؤلف الرئيسي: | |
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| مؤلفون آخرون: | |
| التنسيق: | article |
| منشور في: |
2016
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| الموضوعات: | |
| الوصول للمادة أونلاين: | http://hdl.handle.net/11073/16663 |
| الوسوم: |
إضافة وسم
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| _version_ | 1864513437499916288 |
|---|---|
| author | Leduc, Guillaume |
| author2 | Zeng, Xiangchen |
| author2_role | author |
| author_facet | Leduc, Guillaume Zeng, Xiangchen |
| author_role | author |
| dc.creator.none.fl_str_mv | Leduc, Guillaume Zeng, Xiangchen |
| dc.date.none.fl_str_mv | 2016 2020-06-02T08:10:44Z 2020-06-02T08:10:44Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | Leduc, Guillaume, and Zeng, Xiangchen. "Convergence rate of regime-switching trees." Journal of Computational and Applied Mathematics 319 (2017): 56-76. doi: 10.1016/j.cam.2016.12.033. 0377-0427 http://hdl.handle.net/11073/16663 10.1016/j.cam.2016.12.033 |
| dc.language.none.fl_str_mv | en_US |
| dc.publisher.none.fl_str_mv | Elseveir |
| dc.relation.none.fl_str_mv | https://doi.org/10.1016/j.cam.2016.12.033 |
| dc.subject.none.fl_str_mv | Regime-switching Black–Scholes Discretization Rate of convergence |
| dc.title.none.fl_str_mv | Convergence rate of regime-switching trees |
| dc.type.none.fl_str_mv | Peer-Reviewed Published version info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | 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. |
| format | article |
| id | aus_e93e188003bd019c5b2b879bb6b571be |
| identifier_str_mv | Leduc, Guillaume, and Zeng, Xiangchen. "Convergence rate of regime-switching trees." Journal of Computational and Applied Mathematics 319 (2017): 56-76. doi: 10.1016/j.cam.2016.12.033. 0377-0427 10.1016/j.cam.2016.12.033 |
| language_invalid_str_mv | en_US |
| network_acronym_str | aus |
| network_name_str | aus |
| oai_identifier_str | oai:repository.aus.edu:11073/16663 |
| publishDate | 2016 |
| publisher.none.fl_str_mv | Elseveir |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Convergence rate of regime-switching treesLeduc, GuillaumeZeng, XiangchenRegime-switching Black–ScholesDiscretizationRate of convergenceConsidering 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.Elseveir2020-06-02T08:10:44Z2020-06-02T08:10:44Z2016Peer-ReviewedPublished versioninfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfLeduc, Guillaume, and Zeng, Xiangchen. "Convergence rate of regime-switching trees." Journal of Computational and Applied Mathematics 319 (2017): 56-76. doi: 10.1016/j.cam.2016.12.033.0377-0427http://hdl.handle.net/11073/1666310.1016/j.cam.2016.12.033en_UShttps://doi.org/10.1016/j.cam.2016.12.033oai:repository.aus.edu:11073/166632024-08-22T12:01:51Z |
| spellingShingle | Convergence rate of regime-switching trees Leduc, Guillaume Regime-switching Black–Scholes Discretization Rate of convergence |
| status_str | publishedVersion |
| title | Convergence rate of regime-switching trees |
| title_full | Convergence rate of regime-switching trees |
| title_fullStr | Convergence rate of regime-switching trees |
| title_full_unstemmed | Convergence rate of regime-switching trees |
| title_short | Convergence rate of regime-switching trees |
| title_sort | Convergence rate of regime-switching trees |
| topic | Regime-switching Black–Scholes Discretization Rate of convergence |
| url | http://hdl.handle.net/11073/16663 |