Error analysis of finite difference and Markov chain approximations for option pricing
Year of publication: |
2018
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Authors: | Li, Lingfei ; Zhang, Gongqiu |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 28.2018, 3, p. 877-919
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Subject: | convergence rate | diffusions | European and barrier options | finite difference | Markov chain approximation | nonsmooth payoffs | smoothing tech-niques | spectral representation | subordination | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Schätztheorie | Estimation theory | Optionsgeschäft | Option trading |
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