Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\)

DOI10.1007/s13160-020-00436-wzbMath1470.60207arXiv1810.00418OpenAlexW3047607925MaRDI QIDQ2024611

Yuri Imamura

Publication date: 4 May 2021

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.00418

zbMATH Keywords

Markov chainsreflection principlebarrier options

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20)

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