Stock valuation along a Markov chain.

Luca Luigi Ghezzi Carlo Piccardi

Published in: Appl. Math. Comput. (2003)

Keyphrases

markov chain
steady state
finite state
monte carlo
random walk
transition probabilities
stochastic process
monte carlo method
stationary distribution
markov model
markov process
state space
real option
monte carlo simulation
transition matrix
inventory level
markov chain monte carlo
reinforcement learning