AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION

DOI10.1142/S0219024914500472zbMath1304.91221MaRDI QIDQ2941065

Konstantinos Skindilias, Chia Chun Lo

Publication date: 21 January 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

model calibrationjump-diffusionMarkov chain approximation

Mathematics Subject Classification ID

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Cites Work

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• Calibration of the local volatility in a trinomial tree using Tikhonov regularization
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Option pricing when underlying stock returns are discontinuous
• Numerical Methods for Stochastic Control Problems in Continuous Time
• American option pricing under GARCH by a Markov chain approximation

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