Error bounds and convergence for American put option pricing based on translation-invariant Markov chains.

zbMATH Open1140.91043arXivmath/0601468MaRDI QIDQ3427342FDOQ3427342

Authors: Frederik Herzberg 

Publication date: 19 March 2007

Full work available at URL: https://arxiv.org/abs/math/0601468

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zbMATH Keywords

cubatureerror boundsMarkov chainsAmerican and Bermudan optionsMarkovian market models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50)

Cited In (2)

• Error analysis of finite difference and Markov chain approximations for option pricing
• Statistical inference for Markov chain European option : estimating the price, the bare risk and the theta by historical distributions of Markov chain

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