Markov model of option pricing
In the article is proposed the algorithm of modeling the dynamics of asset prices by Markov process with continuous time and countable set of states and numerical option pricing.
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2021-06-01
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| Series: | Lietuvos Matematikos Rinkinys |
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| Online Access: | https://www.journals.vu.lt/LMR/article/view/24235 |