Valuation of American and Barrier Options under Continuous-Time Markov Chains and Applications

Zhou, Youzhou (Team member)
Yang, Chen (Team member)
Wu, Yue (Team member)
Xu, Maochun (Team member)
Hong, Yi (PI)

University of Strathclyde, UK
Xi’an Jiaotong-Liverpool University

Project: Internal Research Project

Project Title (In Chinese)

基于连续马科夫链方法的美式期权和障碍期权定价及其应用

Fund Amount (RMB)

50000.00

Project Category	REF
Status	Finished
Effective start/end date	1/01/23 → 31/12/25