Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation.
J. Lars KirkbyPublished in: Eur. J. Oper. Res. (2023)
Keyphrases
- markov chain
- stochastic process
- monte carlo
- markov processes
- steady state
- monte carlo method
- sample path
- markov process
- finite state
- transition probabilities
- stationary distribution
- state transition
- monte carlo simulation
- random walk
- markov model
- state space
- transition matrix
- closed form
- graph cuts
- markov chain monte carlo
- queueing networks
- single server
- long run
- image reconstruction
- energy function
- dynamic programming
- prior knowledge