Title: Binomial Tree Method for American Options in a Regime Switching Model
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.
Publication Year: 2008
Publication Date: 2008-10-01
Language: en
Type: article
Indexed In: ['crossref']
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