Adaptive continuous time Markov chain approximation model to general jump-diffusions
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KeywordsMarkov Chains; Diffusion Approximation; Transition Density; Jump-Diffusion Approximation; Option Pricing;
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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