期刊名称：International Journal of Computer Science and Network Security
印刷版ISSN：1738-7906
出版年度：2008
卷号：8
期号：6
页码：199-208
出版社：International Journal of Computer Science and Network Security
摘要：In this paper we propose to use a Markov chain in order to price contingent claims. In particular, we describe a non parametric markovian approach to price American and European options. First, we discuss the risk neutral valuation of the non parametric approach. Secondly, we examine the problems of the computational complexity and of the stability with respect to the number of the states of the Markov chain. Finally, we propose an ex post comparison between the Markovian model and the Black and Scholes one.
关键词：Markov Chain; Risk Neutral Valuation; state dependent valuation; state independent price.
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