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Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates

Published Online: 2021-01-15

Published Print: 2021-04

Authors

Yang, Wensheng

Ma, Jingtang

Cui, Zhenyu http://orcid.org/0000-0001-9429-7121
Funding

Funding for this research was provided by:

National Natural Science Foundation of China (11671323)

Program for New Century Excellent Talents in University (NCET-12-0922)

Fundamental Research Funds for the Central Universities (JBK1805001)
License Information

Text and Data Mining valid from 2021-01-15

Version of Record valid from 2021-01-15
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Article History

Received: 3 April 2020

Revised: 4 September 2020

Accepted: 24 December 2020

First Online: 15 January 2021

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