"Analysis of Markov Chain Approximation for Option Pricing and Hedging: ..."

Gongqiu Zhang, Lingfei Li (2019)

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DOI: 10.1287/OPRE.2018.1791

access: closed

type: Journal Article

metadata version: 2020-03-31

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Gongqiu Zhang, Lingfei Li:
Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior. Oper. Res. 67(2): 407-427 (2019)

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