A Discrete-Time Approach to Evaluate Path-Dependent Derivatives in a Regime-Switching Risk Model
This paper provides a discrete-time approach for evaluating financial and actuarial products characterized by path-dependent features in a regime-switching risk model. In each regime, a binomial discretization of the asset value is obtained by modifying the parameters used to generate the lattice in...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-01-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/8/1/9 |