Showing 1 - 10 of 5,003
Persistent link: https://www.econbiz.de/10011327607
Persistent link: https://www.econbiz.de/10010259828
Persistent link: https://www.econbiz.de/10012544167
Persistent link: https://www.econbiz.de/10012622325
In this paper, we propose a general valuation framework for option pricing problems related to skew diffusions based on a continuous-time Markov chain approximation to the underlying stochastic process. We obtain an explicit closed-form approximation of the transition density of a general skew...
Persistent link: https://www.econbiz.de/10012868167
Persistent link: https://www.econbiz.de/10012698128
Persistent link: https://www.econbiz.de/10012628259
Persistent link: https://www.econbiz.de/10012483834
Persistent link: https://www.econbiz.de/10012288340
Persistent link: https://www.econbiz.de/10012495249