Pages that link to "Item:Q2246620"
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The following pages link to CTMC integral equation method for American options under stochastic local volatility models (Q2246620):
Displaying 5 items.
- Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks (Q2059661) (← links)
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation (Q6053120) (← links)
- An implicit scheme for American put options (Q6057151) (← links)
- Perpetual cancellable American options with convertible features (Q6067091) (← links)
- An efficient and provable sequential quadratic programming method for American and swing option pricing (Q6586252) (← links)