Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Wensheng Yang, Jingtang Ma, Zhenyu Cui
| Year of publication: |
2021
|
|---|---|
| Authors: | Yang, Wensheng ; Ma, Jingtang ; Cui, Zhenyu |
| Published in: |
Mathematical methods of operations research : ZOR. - Berlin : Springer, ISSN 1432-5217, ZDB-ID 1459420-1. - Vol. 93.2021, 2, p. 359-412
|
| Subject: | Option pricing | Sensitivity analysis | Continuous-time Markov chains | Non-uniform grids | Convergence rates | Path-dependent options | Greeks | Laplace inversion | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Optionsgeschäft | Option trading | Griechenland | Greece | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-020-00735-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012548535