Pricing of american and european options using the Markov decision processes

The paper describes the theoretical foundations of Markov decision processes (MDP), presents the pricing algorithms for European and American call and put options using the MDP. Results were compared with results obtained using the Black-Scholes model.

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Year of publication:	2012
Authors:	Mentzen, Slawomir
Published in:	Acta Universitatis Nicolai Copernici, Ekonomia. - Uniwersytet Mikolaja Kopernika. - Vol. 43.2012, 2, p. 211-220
Publisher:	Uniwersytet Mikolaja Kopernika
Subject:	Markov decision processes \| European options \| American options \| option pricing \| optimal decisions

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010632900