An improved Markov chain approximation methodology: derivatives pricing and model calibration (Q2941065)
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scientific article; zbMATH DE number 6389037
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| English | An improved Markov chain approximation methodology: derivatives pricing and model calibration |
scientific article; zbMATH DE number 6389037 |
Statements
AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION (English)
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21 January 2015
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Markov chain approximation
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jump-diffusion
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model calibration
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0.788625955581665
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0.7846739888191223
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0.7606552839279175
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0.7578864693641663
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