A Markov chain approximation scheme for option pricing under skew diffusions
Kailin Ding, Zhenyu Cui and Yongjin Wang
| Year of publication: |
2021
|
|---|---|
| Authors: | Ding, Kailin ; Cui, Zhenyu ; Wang, Yongjin |
| Subject: | Continuous-time Markov chain | Local time | Option pricing | Psychological barriers | Skew diffusion | Target zone | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model | Wahrscheinlichkeitsrechnung | Probability theory | Optionsgeschäft | Option trading |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1781235 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012483834