Pricing Options and Equity-Indexed Annuities in a Regime-switching Model by Trinomial Tree Method
In this paper we summarize the main idea and results of Yuen and Yang (2009, 2010a, 2010b) and provide some results on pricing of Parisian options under the Markov regime-switching model (MRSM). The MRSM allows the parameters of the market model depending on a Markovian process, and the model can re...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
International Institute of Informatics and Cybernetics
2011-12-01
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| Series: | Journal of Systemics, Cybernetics and Informatics |
| Subjects: | |
| Online Access: | http://www.iiisci.org/Journal/CV$/sci/pdfs/RO130IV.pdf
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