Error bounds and convergence for American put option pricing based on translation-invariant Markov chains. (Q3427342)
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scientific article; zbMATH DE number 5134558
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Error bounds and convergence for American put option pricing based on translation-invariant Markov chains. |
scientific article; zbMATH DE number 5134558 |
Statements
19 March 2007
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Markov chains
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Markovian market models
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American and Bermudan options
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cubature
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error bounds
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0.7888424396514893
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0.7860442399978638
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0.7706478238105774
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0.7688641548156738
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