Egami, Masahiko- A direct solution method for pricing options in regime‐swi ...

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Received: 1 February 2018  Accepted: 1 January 2019
DOI: 10.1111/mafi.12220

ORIGINAL ARTICLE


A direct solution method for pricing options in
regime-switching models
Masahiko Egami           Rusudan Kevkhishvili
Graduate School of Economics, Kyoto
University, Sakyo-Ku, Kyoto, Japan
                            Abstract
                            Pricing financial or real options with arbitrary payoffs
Correspondence                     in regime-switching models is an important problem in
Masa ...

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关键词：Solution options Pricing solutio Direct