Pricing Options and Equity-Indexed Annuities in a Regime-switching Model by Trinomial Tree Method

In this paper we summarize the main idea and results of Yuen and Yang (2009, 2010a, 2010b) and provide some results on pricing of Parisian options under the Markov regime-switching model (MRSM). The MRSM allows the parameters of the market model depending on a Markovian process, and the model can re...

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Bibliographic Details

Published in:	Journal of Systemics, Cybernetics and Informatics
Main Authors:	Fei Lung Yuen, Hailiang Yang
Format:	Article
Language:	English
Published:	International Institute of Informatics and Cybernetics 2011-12-01
Subjects:	Path Dependent Options Trinomial Tree Method Regime Switching Model Option Pricing Equity-Indexed Annuity
Online Access:	http://www.iiisci.org/Journal/CV$/sci/pdfs/RO130IV.pdf