Polynomial Approximation to Option Prices under Regime Switching

Yunfan Tang

North American Actuarial Journal, 2013, vol. 17, issue 2, 168-179

Abstract: In this article we obtain the option pricing results using a polynomial approximation. A continuous-time Markov chain–governed volatility and return underlie the stock price generating process. We give European and lookback option prices under various conditions as well as discuss the precision and efficiency of our approach compared to other methods. The approximation methods are applicable for arbitrary regime settings and prove to be fast and accurate with multiple regimes.

Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10920277.2013.813836 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:uaajxx:v:17:y:2013:i:2:p:168-179

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/uaaj20

DOI: 10.1080/10920277.2013.813836

Access Statistics for this article

North American Actuarial Journal is currently edited by Kathryn Baker

More articles in North American Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().