Markov model of option pricing
In the article is proposed the algorithm of modeling the dynamics of asset prices by Markov process with continuous time and countable set of states and numerical option pricing.
2014 ◽
Vol 150
(7)
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pp. 1077-1106
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2017 ◽
Vol 231
(3)
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pp. 255-264
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Keyword(s):
2018 ◽
Vol 82
(3)
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pp. 395-406
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Keyword(s):
Keyword(s):