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  • Search: isPartOf:"Forthcoming publication in Stochastic Processes and their Applications"
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American options 1 Markov chain 1 Markov-Kette 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Polynomial process 1 Probability theory 1 Stochastic process 1 Stochastischer Prozess 1 Wahrscheinlichkeitsrechnung 1 asymptotic moments 1 cubature rule 1 transition probabilities 1 transition rate matrix 1
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Free 1
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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English 1
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Filipović, Damir 1 Larsson, Martin 1 Pulido, Sergio 1
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Forthcoming publication in Stochastic Processes and their Applications 1 Research paper series / Swiss Finance Institute 1
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ECONIS (ZBW) 1
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Markov cubature rules for polynomial processes
Filipović, Damir; Larsson, Martin; Pulido, Sergio - 2016
We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as Markov cubature rules. The polynomial property allows us to...
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