A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions |
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A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (English)
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16 March 2021
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options pricing
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CTMC
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Markov chain
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diffusion
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spread options
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rainbow options
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basket options
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multi asset
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exotic option
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PDE
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