American Option Valuation under Continuous-Time Markov Chains (Q5262446)
From MaRDI portal
scientific article; zbMATH DE number 6458824
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | American Option Valuation under Continuous-Time Markov Chains |
scientific article; zbMATH DE number 6458824 |
Statements
American Option Valuation under Continuous-Time Markov Chains (English)
0 references
15 July 2015
0 references
Markov process
0 references
Markov chain
0 references
Amerian option
0 references
value function
0 references
valuation
0 references
free boundary
0 references
optimal stopping
0 references
numerical approximation
0 references
