Pricing American drawdown options under Markov models
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Publication:2030371
DOI10.1016/j.ejor.2021.01.033zbMath1487.91143OpenAlexW3127697765MaRDI QIDQ2030371
Publication date: 7 June 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2021.01.033
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27)
Related Items (8)
A general approach for lookback option pricing under Markov models ⋮ A general approach for Parisian stopping times under Markov processes ⋮ A general method for analysis and valuation of drawdown risk ⋮ Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation ⋮ Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation ⋮ Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation ⋮ Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk ⋮ Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients
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