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We present a fast and simple tree model to price simple and exotic options in Markov Regime Switching Model (MRSM) with multi-regime. We modify the trinomial tree model of Boyle (1986) by controlling the risk neutral probability measure in different regime states to ensure that the tree model can accommodate the data of all different regimes at the same(More)
Mean-variance criterion has long been the main stream approach in the optimal portfolio theory. The investors try to make a balance between the risk and return on their portfolio. In this paper, the deviation of the asset return from the investor's expectation in the worst scenario is taken as the measure of risk for portfolio selection. One important(More)
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