Search Results - "Stückweise diffusive Markov-Prozesse"

AMERICAN OPTION PRICING USING GENERALISED STOCHASTIC HYBRID SYSTEMS

Authors: Buckwar, Evelyn Desmettre, Sascha Mallinger, Agnes et al.

Contributors: Buckwar, Evelyn Desmettre, Sascha Mallinger, Agnes et al.

Source: Journal of Stochastic Analysis. 6

Subject Terms: Amerikanische Option, Option pricing, Probability (math.PR), Computational Finance (q-fin.CP), Stochastic hybrid system, FOS: Economics and business, Longstaff-Schwartz algorithm, Quantitative Finance - Computational Finance, Stochastisches Hybridsystem, Optionsbewertung, Piecewise diffusion Markov processes, FOS: Mathematics, Longstaff-Schwartz-Algorithmus, American option, Pricing of Securities (q-fin.PR), Stückweise diffusive Markov-Prozesse, Quantitative Finance - Pricing of Securities, Mathematics - Probability

Access URL: http://arxiv.org/abs/2409.07477
https://resolver.obvsg.at/urn:nbn:at:at-ubl:3-26119
https://epub.jku.at/id/11912574
https://doi.org/10.31390/josa.6.1.05