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Analysis of Markov chain approximation for option pricing and hedging : grid design and convergence behavior
Zhang, Gongqiu
;
Li, Lingfei
- In:
Operations research
67
(
2019
)
2
,
pp. 407-427
Persistent link: https://www.econbiz.de/10012022365
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Positive eigenfunctions of Markovian pricing operators : Hansen-Scheinkman factorization, ross recovery, and long-term pricing
Qin, Likuan
;
Linetsky, Vadim
- In:
Operations research
64
(
2016
)
1
,
pp. 99-117
Persistent link: https://www.econbiz.de/10011447753
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