Markov chains and the pricing of derivatives
A numerical method for pricing financial derivatives based on continuous-time Markov chains is proposed. It approximates the underlying stochastic process by a continuous-time Markov chain. We show how to construct a multi-dimensional continuous-time Markov chain such that it converges in distributi...
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Imperial College London
2009
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.513480 |