Continuous-time Markov chain and regime switching approximations with applications to options pricing
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Publication:2337422
DOI10.1007/978-3-030-25498-8_6zbMath1427.91295OpenAlexW2958809086MaRDI QIDQ2337422
Publication date: 20 November 2019
Full work available at URL: https://doi.org/10.1007/978-3-030-25498-8_6
Numerical methods (including Monte Carlo methods) (91G60) Numerical analysis or methods applied to Markov chains (65C40) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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