CTMC integral equation method for American options under stochastic local volatility models

DOI10.1016/j.jedc.2021.104145zbMath1475.91401OpenAlexW3160939411MaRDI QIDQ2246620

Jingtang Ma, Wensheng Yang, Zhen-Yu Cui

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104145

zbMATH Keywords

integral equationAmerican option pricingcontinuous-time Markov chainsearly exercise premiumstochastic local volatility models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation ⋮ An implicit scheme for American put options ⋮ Perpetual cancellable American options with convertible features

Cites Work

• The \(\alpha\)-hypergeometric stochastic volatility model
• Valuing American options under the CEV model by Laplace-Carson transforms
• Optimal surrender policy for variable annuity guarantees
• Inequalities for differential and integral equations
• Pricing American-style securities using simulation
• The valuation of American call options on the minimum of two dividend-paying assets
• A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
• Operator splitting methods for American option pricing.
• Valuation of stock loans with jump risk
• A semi-analytic valuation of American options under a two-state regime-switching economy
• A new integral equation approach for pricing American-style barrier options with rebates
• Pricing and exercising American options: an asymptotic expansion approach
• American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
• THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
• The Valuation of American Options for a Class of Diffusion Processes
• American Options Under Stochastic Volatility
• A General Framework for Pricing Asian Options Under Markov Processes
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• A General Valuation Framework for SABR and Stochastic Local Volatility Models
• CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
• Static replication of barrier-type options via integral equations
• American Option Valuation under Continuous-Time Markov Chains
• Theoretical Numerical Analysis
• THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Randomization and the American Put
• The representation of American options prices under stochastic volatility and jump-diffusion dynamics
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: CTMC integral equation method for American options under stochastic local volatility models