scholarly journals A direct solution method for pricing options in regime‐switching models

2020 ◽  
Vol 30 (2) ◽  
pp. 547-576
Author(s):  
Masahiko Egami ◽  
Rusudan Kevkhishvili
Keyword(s):  
Regime Switching ◽  
Solution Method ◽  
Direct Solution ◽  
Pricing Options ◽  
Regime Switching Models ◽  
Switching Models ◽  
Direct Solution Method

scholarly journals Option Pricing and Hedging for Discrete Time Regime-Switching Models

2017 ◽  
Vol 08 (08) ◽  
pp. 1005-1032 ◽  
Author(s):  
Bruno Rémillard ◽  
Alexandre Hocquard ◽  
Hugo Lamarre ◽  
Nicolas Papageorgiou
Keyword(s):  
Option Pricing ◽  
Discrete Time ◽  
Regime Switching ◽  
Regime Switching Models ◽  
Switching Models ◽  
Time Regime
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