Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates

Yang, WS; Ma, JT; Cui, ZY

Cui, ZY (corresponding author), Stevens Inst Technol, Sch Business, 1 Castle Point On Hudson, Hoboken, NJ 07030 USA.

MATHEMATICAL METHODS OF OPERATIONS RESEARCH, ; ():

Abstract

The continuous-time Markov chain (CTMC) approximation method is a powerful tool that has recently been utilized in the valuation of derivative securit......

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