A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes

Z. Ahmadi, S. Mohammad Hosseini, A. Foroush Bastani. A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes. J. Computational Applied Mathematics, 363:156-170, 2020. [doi]

Abstract

Abstract is missing.