A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684): Difference between revisions

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Latest revision as of 19:41, 24 July 2024

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A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
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    A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (English)
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    16 March 2021
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    options pricing
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    CTMC
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    Markov chain
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    diffusion
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    spread options
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    rainbow options
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    basket options
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    multi asset
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    exotic option
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    PDE
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