Document Type
Thesis
Degree Name
Master of Science (MSc)
Department
Mathematics
Faculty/School
Faculty of Science
First Advisor
Lai Yongzeng
Advisor Role
Supervisor
Abstract
In this paper, we study the convergence rates of the multinomial trees constructed by [Costabile, Leccadito, Massabo and Russo, Journal of Computational and Applied Mathematics, 256 (2014), 152 - 167] for European option pricing under the regime-switching jump-diffusion model, which is named as CLMR tree. We also extend the CLMR tree to the pricing of Asian options under the models. Numerical examples are carried out to confirm the theoretical results and the accuracy of computation.
Recommended Citation
Sui, Yaode, "Analysis of CLMR trees for European and Asian option pricing under regime-switching jump-diffusion models" (2019). Theses and Dissertations (Comprehensive). 2218.
https://scholars.wlu.ca/etd/2218
Convocation Year
2019