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Convergence rate of regime-switching trees

Leduc, Guillaume
; 
Zeng, Xiangchen
Date
2016
Authors
Leduc, Guillaume
Zeng, Xiangchen
Advisor
Type
Peer-Reviewed
Article
Published version
Degree
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Convergence rate of regime-switching trees.pdf
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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 (𝑛-ᵝ), where β = 1∕2 when the payoff is discontinuous and β = 1 otherwise.
DSpace URI
http://hdl.handle.net/11073/16663
External URI
https://doi.org/10.1016/j.cam.2016.12.033
Collections
Department of Mathematics and Statistics
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