Add to ORKGA discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded. The suggested diffusion approximation for the Markov chain allows establishing a convenient approximate formula for the studied characteristic.Ergodic and irreducible Markov chains, Stationary distribution, Local limit theorem, Upper hedge, Upper rational price
We generalize the paper of Hofmann, Platen and Schweizer [HPS92] to jump-diffusion models. First we ...
Abstract. We examine a Markovian model for the price evolution of a stock, in which the probability ...
We propose a non-equidistant Q rate matrix formula and an adaptive numerical algorithm for a continu...
Abstract: A discrete time model of financial markets is considered. It is assumed that the stock pri...
Abstract: A discrete time model of financial markets is considered. It is assumed that the relative...
Abstract: A discrete time model of a financial market is considered. We focus on the study of a guar...
This paper is concerned with the pricing of perpetual American put options when the dynamics of the...
The approximate agents’ wealth and price invariant densities of a repeated prediction market model i...
A numerical method for pricing financial derivatives based on continuous-time Markov chains is prop...
1We derive the pricing equation of a general (American or Game) Contingent Claim in the set-up of a ...
AbstractIn this paper, an effectively computable approximation of the price of an American option in...
In this thesis, properties and results on the continuous-time Markov chain approximation for multiv...
AbstractIn this paper we find numerical solutions for the pricing problem in jump diffusion markets....
International audienceWe study the problem of option replication under constant proportional transac...
AbstractWe introduce an approach for valuing some path-dependent options in a discrete-time Markov c...
We generalize the paper of Hofmann, Platen and Schweizer [HPS92] to jump-diffusion models. First we ...
Abstract. We examine a Markovian model for the price evolution of a stock, in which the probability ...
We propose a non-equidistant Q rate matrix formula and an adaptive numerical algorithm for a continu...
Abstract: A discrete time model of financial markets is considered. It is assumed that the stock pri...
Abstract: A discrete time model of financial markets is considered. It is assumed that the relative...
Abstract: A discrete time model of a financial market is considered. We focus on the study of a guar...
This paper is concerned with the pricing of perpetual American put options when the dynamics of the...
The approximate agents’ wealth and price invariant densities of a repeated prediction market model i...
A numerical method for pricing financial derivatives based on continuous-time Markov chains is prop...
1We derive the pricing equation of a general (American or Game) Contingent Claim in the set-up of a ...
AbstractIn this paper, an effectively computable approximation of the price of an American option in...
In this thesis, properties and results on the continuous-time Markov chain approximation for multiv...
AbstractIn this paper we find numerical solutions for the pricing problem in jump diffusion markets....
International audienceWe study the problem of option replication under constant proportional transac...
AbstractWe introduce an approach for valuing some path-dependent options in a discrete-time Markov c...
We generalize the paper of Hofmann, Platen and Schweizer [HPS92] to jump-diffusion models. First we ...
Abstract. We examine a Markovian model for the price evolution of a stock, in which the probability ...
We propose a non-equidistant Q rate matrix formula and an adaptive numerical algorithm for a continu...