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A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions.
J. Lars Kirkby
Nguyen Hai Dang
Duy Nguyen
Published in:
Appl. Math. Comput. (2020)
Keyphrases
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markov chain
steady state
random walk
markov process
monte carlo
stationary distribution
monte carlo simulation
option pricing
transition matrix
stochastic process
transition probabilities
monte carlo method
state space
special case
queueing networks
probability distribution
reinforcement learning