Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior (Q5126611)
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scientific article; zbMATH DE number 7262436
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior |
scientific article; zbMATH DE number 7262436 |
Statements
Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior (English)
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20 October 2020
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diffusions
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jumps
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Markov chain
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nonuniform grids
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convergence rate
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smooth convergence
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extrapolation
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spectral representation
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nonsmooth payoffs
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