{"title":"期权定价与套期保值的马尔可夫链逼近分析:网格设计与收敛行为","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":"{\"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}","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}
Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior
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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