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Discrete Dynamics in Nature and Society
Volume 2016, Article ID 2474305, 14 pages
http://dx.doi.org/10.1155/2016/2474305
Research Article

Efficient Lattice Method for Valuing of Options with Barrier in a Regime Switching Model

1Department of Mathematics, Yonsei University, Seoul 120-749, Republic of Korea
2Department of Mathematical Science, Seoul National University, Seoul 151-747, Republic of Korea

Received 25 July 2016; Revised 7 September 2016; Accepted 14 September 2016

Academic Editor: Francisco R. Villatoro

Copyright © 2016 Youngchul Han and Geonwoo Kim. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

How to Cite this Article

Youngchul Han and Geonwoo Kim, “Efficient Lattice Method for Valuing of Options with Barrier in a Regime Switching Model,” Discrete Dynamics in Nature and Society, vol. 2016, Article ID 2474305, 14 pages, 2016. https://doi.org/10.1155/2016/2474305.