Markov chain approximation of one-dimensional sticky diffusions
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Publication:5022266
DOI10.1017/apr.2020.65zbMath1480.65027arXiv1910.14282OpenAlexW3179753424MaRDI QIDQ5022266
Gongqiu Zhang, Lingfei Li, Christian Meier
Publication date: 18 January 2022
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1910.14282
Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Diffusion processes (60J60) Eigenfunctions, eigenfunction expansions, completeness of eigenfunctions of ordinary differential operators (34L10) Numerical approximation of eigenvalues and of other parts of the spectrum of ordinary differential operators (34L16)
Related Items (7)
A general approach for lookback option pricing under Markov models ⋮ A general method for analysis and valuation of drawdown risk ⋮ Functional convergence to the local time of a sticky diffusion ⋮ General diffusion processes as limit of time-space Markov chains ⋮ 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 ⋮ Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients
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