Error bounds and convergence for American put option pricing based on translation-invariant Markov chains. (Q3427342)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Error bounds and convergence for American put option pricing based on translation-invariant Markov chains. |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Error bounds and convergence for American put option pricing based on translation-invariant Markov chains. |
scientific article |
Statements
19 March 2007
0 references
Markov chains
0 references
Markovian market models
0 references
American and Bermudan options
0 references
cubature
0 references
error bounds
0 references
0.7888424396514893
0 references
0.7860442399978638
0 references
0.7706478238105774
0 references
0.7688641548156738
0 references
