Title

Convergence rate of regime-switching trees

RIS ID

111897

Publication Details

Leduc, G. & Zeng, X. (2017). Convergence rate of regime-switching trees. Journal of Computational and Applied Mathematics, 319 56-76.

Abstract

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 θ(n), where β=1/2 when the payoff is discontinuous and β=1 otherwise.

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Link to publisher version (DOI)

http://dx.doi.org/10.1016/j.cam.2016.12.033