Error analysis of finite difference and Markov chain approximations for option pricing (Q4581292)
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scientific article; zbMATH DE number 6919652
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| English | Error analysis of finite difference and Markov chain approximations for option pricing |
scientific article; zbMATH DE number 6919652 |
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Error analysis of finite difference and Markov chain approximations for option pricing (English)
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16 August 2018
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convergence rate
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diffusions
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European and barrier options
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finite difference
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Markov chain approximation
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nonsmooth payoffs
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smoothing techniques
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spectral representation
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subordination
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0.91703576
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0.91627586
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0.9153229
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0.9094595
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0.9032169
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0.90011084
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0.8956411
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0.8946795
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