A Markov chain approximation scheme for option pricing under skew diffusions
Year of publication: |
2021
|
---|---|
Authors: | Ding, Kailin ; Cui, Zhenyu ; Wang, Yongjin |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 3, p. 461-480
|
Subject: | Continuous-time Markov chain | Local time | Option pricing | Psychological barriers | Skew diffusion | Target zone | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Statistische Verteilung | Statistical distribution |
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