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Search: subject:"nonsmooth payoffs"
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Markov chain
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convergence rate
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diffusions
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nonsmooth payoffs
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Li, Lingfei
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Analysis of Markov chain approximation for option pricing and hedging : grid design and convergence behavior
Zhang, Gongqiu
;
Li, Lingfei
- In:
Operations research
67
(
2019
)
2
,
pp. 407-427
Persistent link: https://www.econbiz.de/10012022365
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Error analysis of finite difference and Markov chain approximations for option pricing
Li, Lingfei
;
Zhang, Gongqiu
- In:
Mathematical finance : an international journal of …
28
(
2018
)
3
,
pp. 877-919
Persistent link: https://www.econbiz.de/10011969078
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