"A general continuous time Markov chain approximation for multi-asset ..."

Justin Lars Kirkby, Nguyen Hai Dang, Duy Nguyen (2020)

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DOI: 10.1016/J.AMC.2020.125472

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type: Journal Article

metadata version: 2023-09-28

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Justin Lars Kirkby, Nguyen Hai Dang, Duy Nguyen:
A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions. Appl. Math. Comput. 386: 125472 (2020)

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