Leduc, GuillaumeZeng, Xiangchen2020-06-022020-06-022016Leduc, Guillaume, and Zeng, Xiangchen. "Convergence rate of regime-switching trees." Journal of Computational and Applied Mathematics 319 (2017): 56-76. doi: 10.1016/j.cam.2016.12.033.0377-0427http://hdl.handle.net/11073/16663Considering 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.en-USRegime-switching Black–ScholesDiscretizationRate of convergencePeer-Reviewed10.1016/j.cam.2016.12.033