Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
From MaRDI portal
Publication:2040431
DOI10.1007/s00186-020-00735-5zbMath1475.91365MaRDI QIDQ2040431
Jingtang Ma, Wensheng Yang, Zhen-Yu Cui
Publication date: 14 July 2021
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-020-00735-5
convergence rates; Laplace transforms; option pricing; continuous-time Markov chains; path-dependent options; Greeks
91G20: Derivative securities (option pricing, hedging, etc.)
60H07: Stochastic calculus of variations and the Malliavin calculus
60J28: Applications of continuous-time Markov processes on discrete state spaces
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