A Markov chain approximation scheme for option pricing under skew diffusions (Q4991088): Difference between revisions
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Revision as of 19:20, 5 March 2024
scientific article; zbMATH DE number 7353690
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Markov chain approximation scheme for option pricing under skew diffusions |
scientific article; zbMATH DE number 7353690 |
Statements
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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