Convergence rate of regime-switching trees
作者：
Highlights：
•
摘要
Considering 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.
论文关键词：41A25,65C50,65C20,Regime-switching Black–Scholes,Discretization,Rate of convergence
论文评审过程：Received 5 July 2016, Revised 14 November 2016, Available online 29 December 2016, Version of Record 17 January 2017.
论文官网地址：https://doi.org/10.1016/j.cam.2016.12.033
