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.
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | article |
| Published: |
2016
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/11073/16663 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!