Error analysis of finite difference and Markov chain approximations for option pricing

DOI10.1111/mafi.12161zbMath1411.91626OpenAlexW2519202303MaRDI QIDQ4581292

Publication date: 16 August 2018

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12161

zbMATH Keywords

subordination convergence rate spectral representation diffusions finite difference smoothing techniques Markov chain approximation European and barrier options nonsmooth payoffs

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical analysis or methods applied to Markov chains (65C40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

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