Title :
Binomial Tree Method for American Options in a Regime Switching Model
Author :
Yuan, Quan ; Bian, Baojun ; Yuan, Guiqiu
Author_Institution :
Dept. of Math., Tongji Univ., Shanghai
Abstract :
We derive the binomial tree scheme for pricing American put options in a regime switching model. An explicit formula is obtained for one-period binomial tree model. Furthermore the pricing scheme is established for multi-period binomial tree model.
Keywords :
stock markets; trees (mathematics); American options; binomial tree method; multiperiod binomial tree; regime switching model; Bonding; Cost accounting; Diffusion processes; Discrete wavelet transforms; Educational institutions; Electronic mail; Mathematical model; Mathematics; Pricing; Statistics;
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
Conference_Location :
Dalian
Print_ISBN :
978-1-4244-2107-7
Electronic_ISBN :
978-1-4244-2108-4
DOI :
10.1109/WiCom.2008.2312
