Open AccessMarkov model of option pricing
Author(s) -
Eimutis Valakevičius
Publication year - 2021
Publication title -
lietuvos matematikos rinkinys
Language(s) - Uncategorized
Resource type - Journals
eISSN - 2335-898X
pISSN - 0132-2818
DOI - 10.15388/lmr.2007.24235
Subject(s) - countable set , markov chain , markov process , markov model , set (abstract data type) , asset (computer security) , valuation of options , computer science , capital asset pricing model , mathematical economics , economics , mathematical optimization , econometrics , mathematics , discrete mathematics , statistics , machine learning , computer security , programming language
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.