Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar; … - In: Review of Quantitative Finance and Accounting 42 (2014) 4, pp. 667-690
follow a regime-switching model. In each regime, the asset dynamics is discretized by a Cox–Ross–Rubinstein lattice derived … the lattice branches. Quadratic interpolation is invoked in case of regime changes, and the switching among regimes is …