Pricing of american and european options using the Markov decision processes
Journal Title: Acta Universitatis Nicolai Copernici, Ekonomia - Year 2012, Vol 43, Issue 2
Abstract
The paper describes the theoretical foundations of Markov decision processes (MDP), presents the pricing algorithms for European and American call and put options using the MDP. Results were compared with results obtained using the Black-Scholes model.
Authors and Affiliations
Sławomir Mentzen
Keywords
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