Markov model of option pricing
Articles
Eimutis Valakevičius
Kaunas University of Technology
Published 2021-06-01
https://doi.org/10.15388/LMR.2007.24235
PDF

Keywords

assets dynamics
mixture of exponential distributions
Markov model of asset prices
numerical option pricing

How to Cite

Valakevičius E. (2021) “Markov model of option pricing”, Lietuvos matematikos rinkinys, 47(spec.), pp. 395–401. doi: 10.15388/LMR.2007.24235.

Abstract

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.

PDF
Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

Please read the Copyright Notice in Journal Policy