A Markov chain approximation scheme for option pricing under skew diffusions (Q4991088)
From MaRDI portal
scientific article; zbMATH DE number 7353690
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Markov chain approximation scheme for option pricing under skew diffusions |
scientific article; zbMATH DE number 7353690 |
Statements
A Markov chain approximation scheme for option pricing under skew diffusions (English)
0 references
2 June 2021
0 references
skew diffusion
0 references
local time
0 references
continuous-time Markov chain
0 references
option pricing
0 references
target zone
0 references
psychological barriers
0 references
