A lattice method for option pricing with two underlying assets in the regime-switching model

Option pricing: A simplified approach

John C. Cox, Stephen A. Ross, Mark Rubinstein · Journal of Financial Economics · 1979 · 6.2K citations

Business, Economics, Finance +13

Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange

Julio J. Lucia, Eduardo S. Schwartz · Review of Derivatives Research · 2002 · 952 citations

Natural Resources, Economics, Electrical Engineering +17

Options on the minimum or the maximum of two risky assets

René M. Stulz · Journal of Financial Economics · 1982 · 562 citations

Business, Finance, Asset Pricing +10

AMERICAN OPTIONS WITH REGIME SWITCHING

John Buffington, Robert J. Elliott · International Journal of Theoretical and Applied Finance · 2002 · 521 citations

Business, Finance, Mathematics +17

Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

Xun Yu Zhou, Guosheng Yin · SIAM Journal on Control and Optimization · 2003 · 517 citations

Engineering, Economics, Finance +17