Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5776370 | Journal of Computational and Applied Mathematics | 2017 | 25 Pages |
Abstract
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 O(nâβ), where β=1/2 when the payoff is discontinuous and β=1 otherwise.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Guillaume Leduc, Xiangchen Zeng,