Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior.

Gongqiu Zhang Lingfei Li

Published in: Oper. Res. (2019)

Keyphrases

markov chain
option pricing
steady state
random walk
monte carlo
monte carlo method
stationary distribution
transition matrix
monte carlo simulation
transition probabilities
stochastic process
markov model
black scholes
decision analysis
genetic algorithm
stock price
state space
decision making