A Markov chain approximation scheme for option pricing under skew diffusions (Q4991088): Difference between revisions

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Latest revision as of 21:41, 25 July 2024

scientific article; zbMATH DE number 7353690
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English
A Markov chain approximation scheme for option pricing under skew diffusions
scientific article; zbMATH DE number 7353690

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    A Markov chain approximation scheme for option pricing under skew diffusions (English)
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    2 June 2021
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    skew diffusion
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    local time
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    continuous-time Markov chain
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    option pricing
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    target zone
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    psychological barriers
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