Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks (Q2059661): Difference between revisions
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Revision as of 02:16, 29 February 2024
scientific article
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| English | Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks |
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Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks (English)
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14 December 2021
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continuous-time Markov chains
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stochastic local volatility models
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option pricing
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greeks
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convergence rates
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