Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients
From MaRDI portal
Publication:5868800
DOI10.1137/21M1440098zbMath1498.91467WikidataQ114073985 ScholiaQ114073985MaRDI QIDQ5868800
Publication date: 23 September 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)
Related Items (3)
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
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Term structure models and the zero bound: an empirical investigation of Japanese yields
- Theoretical and numerical analysis on a thermoelastic system with discontinuities
- Eigenvalue and eigenfunction asymptotics for regular Sturm-Liouville problems
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
- An overview of the immersed interface method and its applications
- Pricing American drawdown options under Markov models
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
- Markov chain approximations for transition densities of Lévy processes
- Step Options
- Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach
- Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
- Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
- SELF EXCITING THRESHOLD INTEREST RATES MODELS
- A General Framework for Pricing Asian Options Under Markov Processes
- Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
- A General Valuation Framework for SABR and Stochastic Local Volatility Models
- Error analysis of finite difference and Markov chain approximations for option pricing
- The Immersed Interface/Multigrid Methods for Interface Problems
- CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
- Markov chain approximation of one-dimensional sticky diffusions
- Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior
- American Option Valuation under Continuous-Time Markov Chains
- The Scaling and Squaring Method for the Matrix Exponential Revisited
- Analysis of Finite Difference Schemes
- Option Pricing in Some Non-Lévy Jump Models
This page was built for publication: Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients
