Pricing discretely monitored barrier options under markov processes through markov chain approximation

Keyphrases

• Markov Process 100%
• Discrete Monitoring 100%
• Double Barrier Option 100%
• Markov Chain Approximation 100%
• Discrete Barrier Options 100%
• Benchmark Results 50%
• Unified Framework 50%
• Numerical Examples 50%
• Proposed Equation 50%
• Matrix Operation 50%
• Closed-form Approximation 50%
• Underlying Asset 50%
• Approximation Formula 50%
• Greek 50%
• Time Barrier 50%
• Jump-diffusion Process 50%
• Barrier Options 50%
• Single-barrier 50%
• One-dimensional Markov Process 50%
• Monitoring Time 50%

Computer Science

• Approximation (Algorithm) 100%
• Markov Chain 100%
• Markov Process 100%
• Barrier Option 100%
• Time Monitoring 25%
• Matrix Operation 25%
• Numerical Example 25%
• Unified Framework 25%
• Diffusion Process 25%
• Underlying Asset 25%

Mathematics

• Markov Chain 100%
• Markov Process 100%
• Barrier Option 100%
• Nonuniform 25%
• Numerical Example 25%
• Closed Form 25%
• time interval τ 25%
• Diffusion Process 25%
• Matrix Operation 25%
• Underlying Asset 25%