Markovian black and scholes

DOI10.2298/PIM0693065OzbMath1121.60080OpenAlexW1965960261MaRDI QIDQ5424696

Stefan Van Gulck, Edward Omey

Publication date: 5 November 2007

Published in: Publications de l'Institut Mathematique (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/128017

zbMATH Keywords

Markov chainbinomial modelcall option

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (1)

A New Markov Binomial Distribution

This page was built for publication: Markovian black and scholes