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Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates.
Wensheng Yang
Jingtang Ma
Zhenyu Cui
Published in:
Math. Methods Oper. Res. (2021)
Keyphrases
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markov chain
convergence rate
steady state
finite state
random walk
monte carlo
monte carlo simulation
markov model
transition probabilities
stationary distribution
markov process
evolutionary algorithm
higher order
monte carlo method
markov decision processes