Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior

DOI10.1287/opre.2018.1791zbMath1455.91259OpenAlexW2757935590MaRDI QIDQ5126611

Gongqiu Zhang, Lingfei Li

Publication date: 20 October 2020

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2018.1791

zbMATH Keywords

jumpsMarkov chainextrapolationconvergence ratespectral representationdiffusionsnonuniform gridssmooth convergencenonsmooth payoffs

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (21)

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Uses Software

• MATLAB expm

Cites Work

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