Simulation of Multidimensional Diffusions with Sticky Boundaries via Markov Chain Approximation
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- Kirkby, J. Lars & Nguyen, Dang H. & Nguyen, Duy, 2020. "A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions," Applied Mathematics and Computation, Elsevier, vol. 386(C).
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Cited by:
- Kirkby, J. Lars, 2023. "Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation," European Journal of Operational Research, Elsevier, vol. 305(2), pages 961-978.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2021-07-26 (Computational Economics)
- NEP-ORE-2021-07-26 (Operations Research)
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