Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior (Q5126611)

From MaRDI portal
scientific article; zbMATH DE number 7262436
Language Label Description Also known as
English
Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior
scientific article; zbMATH DE number 7262436

    Statements

    Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior (English)
    0 references
    0 references
    0 references
    20 October 2020
    0 references
    diffusions
    0 references
    jumps
    0 references
    Markov chain
    0 references
    nonuniform grids
    0 references
    convergence rate
    0 references
    smooth convergence
    0 references
    extrapolation
    0 references
    spectral representation
    0 references
    nonsmooth payoffs
    0 references
    0 references
    0 references
    0 references

    Identifiers