FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2093535166> ?p ?o ?g. }

• W2093535166 endingPage "106" @default.
• W2093535166 startingPage "96" @default.
• W2093535166 abstract "In this work we develop an efficient lattice approach for option pricing with two underlying assets whose prices are governed by regime-switching models. Jump amplitudes are specified in a way such that the lattice achieves complete node recombination along each asset variable and grows quadratically as the number of time steps increases. Jump probabilities are obtained by solving a related quadratic programming problem. The weak convergence of the discrete lattice approximations to the continuous-time regime-switching diffusion processes is established. The lattice is employed to price both European and American options written on the maximum and minimum of two assets in different regimes. Numerical results are provided and compared for the European options with a Monte-Carlo simulation approach." @default.
• W2093535166 created "2016-06-24" @default.
• W2093535166 creator A5056145062 @default.
• W2093535166 creator A5059289404 @default.
• W2093535166 date "2013-10-01" @default.
• W2093535166 modified "2023-10-18" @default.
• W2093535166 title "A lattice method for option pricing with two underlying assets in the regime-switching model" @default.
• W2093535166 cites W1552108148 @default.
• W2093535166 cites W1965746347 @default.
• W2093535166 cites W1970273488 @default.
• W2093535166 cites W1979130814 @default.
• W2093535166 cites W1979350152 @default.
• W2093535166 cites W1988916339 @default.
• W2093535166 cites W1990726440 @default.
• W2093535166 cites W2003153994 @default.
• W2093535166 cites W2008889292 @default.
• W2093535166 cites W2012383489 @default.
• W2093535166 cites W2015487345 @default.
• W2093535166 cites W2020041898 @default.
• W2093535166 cites W2023749127 @default.
• W2093535166 cites W2033070835 @default.
• W2093535166 cites W2041072183 @default.
• W2093535166 cites W2047188539 @default.
• W2093535166 cites W2047580188 @default.
• W2093535166 cites W2050086017 @default.
• W2093535166 cites W2051136417 @default.
• W2093535166 cites W2053604117 @default.
• W2093535166 cites W2056275876 @default.
• W2093535166 cites W2085096176 @default.
• W2093535166 cites W2087019456 @default.
• W2093535166 cites W2108237853 @default.
• W2093535166 cites W2117436269 @default.
• W2093535166 cites W2118270541 @default.
• W2093535166 cites W2137925004 @default.
• W2093535166 cites W2146612430 @default.
• W2093535166 cites W2155664708 @default.
• W2093535166 cites W2159479369 @default.
• W2093535166 cites W2169218985 @default.
• W2093535166 cites W2293176873 @default.
• W2093535166 cites W4231149212 @default.
• W2093535166 doi "https://doi.org/10.1016/j.cam.2013.02.012" @default.
• W2093535166 hasPublicationYear "2013" @default.
• W2093535166 type Work @default.
• W2093535166 sameAs 2093535166 @default.
• W2093535166 citedByCount "21" @default.
• W2093535166 countsByYear W20935351662013 @default.
• W2093535166 countsByYear W20935351662014 @default.
• W2093535166 countsByYear W20935351662015 @default.
• W2093535166 countsByYear W20935351662016 @default.
• W2093535166 countsByYear W20935351662017 @default.
• W2093535166 countsByYear W20935351662018 @default.
• W2093535166 countsByYear W20935351662019 @default.
• W2093535166 countsByYear W20935351662020 @default.
• W2093535166 countsByYear W20935351662023 @default.
• W2093535166 crossrefType "journal-article" @default.
• W2093535166 hasAuthorship W2093535166A5056145062 @default.
• W2093535166 hasAuthorship W2093535166A5059289404 @default.
• W2093535166 hasConcept C105795698 @default.
• W2093535166 hasConcept C121332964 @default.
• W2093535166 hasConcept C126255220 @default.
• W2093535166 hasConcept C129844170 @default.
• W2093535166 hasConcept C134306372 @default.
• W2093535166 hasConcept C149782125 @default.
• W2093535166 hasConcept C194483076 @default.
• W2093535166 hasConcept C19499675 @default.
• W2093535166 hasConcept C195956108 @default.
• W2093535166 hasConcept C24890656 @default.
• W2093535166 hasConcept C2524010 @default.
• W2093535166 hasConcept C2779664328 @default.
• W2093535166 hasConcept C2780695682 @default.
• W2093535166 hasConcept C2781204021 @default.
• W2093535166 hasConcept C28826006 @default.
• W2093535166 hasConcept C33923547 @default.
• W2093535166 hasConcept C62520636 @default.
• W2093535166 hasConceptScore W2093535166C105795698 @default.
• W2093535166 hasConceptScore W2093535166C121332964 @default.
• W2093535166 hasConceptScore W2093535166C126255220 @default.
• W2093535166 hasConceptScore W2093535166C129844170 @default.
• W2093535166 hasConceptScore W2093535166C134306372 @default.
• W2093535166 hasConceptScore W2093535166C149782125 @default.
• W2093535166 hasConceptScore W2093535166C194483076 @default.
• W2093535166 hasConceptScore W2093535166C19499675 @default.
• W2093535166 hasConceptScore W2093535166C195956108 @default.
• W2093535166 hasConceptScore W2093535166C24890656 @default.
• W2093535166 hasConceptScore W2093535166C2524010 @default.
• W2093535166 hasConceptScore W2093535166C2779664328 @default.
• W2093535166 hasConceptScore W2093535166C2780695682 @default.
• W2093535166 hasConceptScore W2093535166C2781204021 @default.
• W2093535166 hasConceptScore W2093535166C28826006 @default.
• W2093535166 hasConceptScore W2093535166C33923547 @default.
• W2093535166 hasConceptScore W2093535166C62520636 @default.
• W2093535166 hasLocation W20935351661 @default.
• W2093535166 hasOpenAccess W2093535166 @default.
• W2093535166 hasPrimaryLocation W20935351661 @default.
• W2093535166 hasRelatedWork W2140841759 @default.
• W2093535166 hasRelatedWork W2159074954 @default.
• W2093535166 hasRelatedWork W2294370856 @default.
• W2093535166 hasRelatedWork W2401257423 @default.

• next