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 |
| Published: |
Vilnius University Press
2021-06-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Subjects: | |
| Online Access: | https://www.journals.vu.lt/LMR/article/view/24235 |
| _version_ | 1818365516420481024 |
|---|---|
| author | Eimutis Valakevičius |
| author_facet | Eimutis Valakevičius |
| author_sort | Eimutis Valakevičius |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-13T22:21:30Z |
| format | Article |
| id | doaj.art-5ccbdf2a8b2a4072854212909bbac8c0 |
| institution | Directory Open Access Journal |
| issn | 0132-2818 2335-898X |
| language | English |
| last_indexed | 2024-12-13T22:21:30Z |
| publishDate | 2021-06-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Lietuvos Matematikos Rinkinys |
| spelling | doaj.art-5ccbdf2a8b2a4072854212909bbac8c02022-12-21T23:29:22ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2021-06-0147spec.10.15388/LMR.2007.24235Markov model of option pricingEimutis Valakevičius0Kaunas University of TechnologyIn 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.https://www.journals.vu.lt/LMR/article/view/24235assets dynamicsmixture of exponential distributionsMarkov model of asset pricesnumerical option pricing |
| spellingShingle | Eimutis Valakevičius Markov model of option pricing Lietuvos Matematikos Rinkinys assets dynamics mixture of exponential distributions Markov model of asset prices numerical option pricing |
| title | Markov model of option pricing |
| title_full | Markov model of option pricing |
| title_fullStr | Markov model of option pricing |
| title_full_unstemmed | Markov model of option pricing |
| title_short | Markov model of option pricing |
| title_sort | markov model of option pricing |
| topic | assets dynamics mixture of exponential distributions Markov model of asset prices numerical option pricing |
| url | https://www.journals.vu.lt/LMR/article/view/24235 |
| work_keys_str_mv | AT eimutisvalakevicius markovmodelofoptionpricing |