Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior


Continuous time Markov chain approximation is an intuitive and powerful method for pricing options in general Markovian models. This paper analyzes how grid design affects the convergence behavior of barrier and European... [ view full abstract ]


  1. Lingfei Li (The Chinese University of Hong Kong)
  2. Gongqiu Zhang (Wuhan University)

Topic Areas

Computational Finance , Numerical Methods , Options


TH-A-EM » Numerics, PDEs and Option Pricing (11:30 - Thursday, 19th July, Emmet)

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