American Option Valuation under Continuous-Time Markov Chains (Q5262446)
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scientific article; zbMATH DE number 6458824
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | American Option Valuation under Continuous-Time Markov Chains |
scientific article; zbMATH DE number 6458824 |
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American Option Valuation under Continuous-Time Markov Chains (English)
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15 July 2015
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Markov process
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Markov chain
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Amerian option
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value function
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valuation
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free boundary
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optimal stopping
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numerical approximation
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