A Markov chain approximation scheme for option pricing under skew diffusions
From MaRDI portal
Publication:4991088
DOI10.1080/14697688.2020.1781235zbMath1466.91332OpenAlexW3046148913MaRDI QIDQ4991088
Kailin Ding, Yong Jin Wang, Zhen-Yu Cui
Publication date: 2 June 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2020.1781235
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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