Markov Tree Options Pricing

DOI10.1137/1.9781611973303.19zbMath1470.91271OpenAlexW2154033992MaRDI QIDQ5005080

Nitesh Kumar, Harish S. Bhat

Publication date: 4 August 2021

Published in: Proceedings of the 2009 SIAM Conference on “Mathematics for Industry” (Search for Journal in Brave)

Full work available at URL: https://escholarship.org/uc/item/2kq5w8dk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (1)

Option pricing under a normal mixture distribution derived from the Markov tree model

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