Error analysis of finite difference and Markov chain approximations for option pricing
Lingfei Li, Gongqiu Zhang
| Year of publication: |
2018
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|---|---|
| Authors: | Li, Lingfei ; Zhang, Gongqiu |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 28.2018, 3, p. 877-919
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| Subject: | convergence rate | diffusions | European and barrier options | finite difference | Markov chain approximation | nonsmooth payoffs | smoothing tech-niques | spectral representation | subordination | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | EU-Staaten | EU countries |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12161 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011969078