Analysis of Markov chain approximation for option pricing and hedging : grid design and convergence behavior
Gongqiu Zhang, Lingfei Li
| Year of publication: |
2019
|
|---|---|
| Authors: | Zhang, Gongqiu ; Li, Lingfei |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 67.2019, 2, p. 407-427
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| Subject: | diffusions | jumps | Markov chain | nonuniform grids | convergence rate | smooth convergence | extrapolation | spectral representation | nonsmooth payoffs | Markov-Kette | Optionspreistheorie | Option pricing theory | Hedging | Stochastischer Prozess | Stochastic process | Wirtschaftliche Konvergenz | Economic convergence |