کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
837443 908340 2012 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی مهندسی (عمومی)
پیش نمایش صفحه اول مقاله
A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
چکیده انگلیسی

This paper develops a new tree method for pricing financial derivatives in a regime-switching mean-reverting model. The tree achieves full node recombination and grows linearly as the number of time steps increases. Conditions for non-negative branch probabilities are presented. The weak convergence of the discrete tree approximations to the continuous regime-switching mean-reverting process is established. To illustrate the application in mathematical finance, the recombining tree is used to price commodity options and zero-coupon bonds. Numerical results are provided and compared.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Nonlinear Analysis: Real World Applications - Volume 13, Issue 6, December 2012, Pages 2609–2621
نویسندگان
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