Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior

• Gongqiu Zhang

  Corresponding Author

  Gongqiu Zhang

  https://orcid.org/0000-0002-6551-5449

  School of Science and Engineering, The Chinese University of Hong Kong, 518172 Shenzhen, China

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  ,
• Lingfei Li

  Corresponding Author

  Lingfei Li

  https://orcid.org/0000-0002-1761-3458

  Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Hong Kong, China

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