Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates

DOI10.1007/s00186-020-00735-5zbMath1475.91365OpenAlexW3123985212MaRDI QIDQ2040431

Jingtang Ma, Wensheng Yang, Zhen-Yu Cui

Publication date: 14 July 2021

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-020-00735-5

zbMATH Keywords

convergence ratesLaplace transformsoption pricingcontinuous-time Markov chainspath-dependent optionsGreeks

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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