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

<table class="figure-group"><tr class="fig-image" id="a"><td><object data="https://static.hindawi.com/articles/ddns/volume-2016/2474305/figures/2474305.fig.005a.svgz" name="2474305.fig.005a" type="image/svg+xml"></object></td></tr><tr class="fig-caption"><td><b>(a) </b>European double barrier call option, regime 1</td></tr><tr class="fig-image" id="b"><td><object data="https://static.hindawi.com/articles/ddns/volume-2016/2474305/figures/2474305.fig.005b.svgz" name="2474305.fig.005b" type="image/svg+xml"></object></td></tr><tr class="fig-caption"><td><b>(b) </b>European double barrier call option, regime 2</td></tr></table>

<div>Convergence of various models for calculation of European double barrier call option.</div>

Discrete Dynamics in Nature and Society

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Figure 5

Figure 5: Efficient Lattice Method for Valuing of Options with Barrier in a Regime Switching Model 