Characteristic functions and option valuation in a Markov chain market.

Robert J. Elliott Chuin Ching Liew Tak Kuen Siu

Published in: Comput. Math. Appl. (2011)

Keyphrases

markov chain
real option
steady state
stochastic process
finite state
option pricing
monte carlo
markov process
transition probabilities
monte carlo simulation
monte carlo method
state space
markov model
stationary distribution
transition matrix
random walk
genetic algorithm
machine learning