• DocumentCode
    3467126
  • 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
  • fYear
    2008
  • fDate
    12-14 Oct. 2008
  • Firstpage
    1
  • Lastpage
    4
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • 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
  • Type

    conf

  • DOI
    10.1109/WiCom.2008.2312
  • Filename
    4680501
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3467126