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A Markov Chain Approximation for American Option Pricing in Tempered Stable-GARCH Models.
Xiang Shi
Lihua Zhang
Young S. A. Kim
Published in:
Frontiers Appl. Math. Stat. (2015)
Keyphrases
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markov chain
option pricing
garch model
stock price
transition probabilities
decision analysis
state space
monte carlo
stochastic process
stock market
monte carlo method
black scholes model
image processing
text mining
multivariate time series