{"title":"Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior","authors":"Gongqiu Zhang, Lingfei Li","doi":"10.2139/ssrn.3007318","DOIUrl":null,"url":null,"abstract":"Markov chain approximation is a general method for option pricing and hedging in Markovian models with continuous-state spaces. A key issue for its efficiency is how to design the grid for the Mark...","PeriodicalId":11044,"journal":{"name":"delete","volume":"32 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2017-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"40","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"delete","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3007318","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 40
Abstract
Markov chain approximation is a general method for option pricing and hedging in Markovian models with continuous-state spaces. A key issue for its efficiency is how to design the grid for the Mark...
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