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A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
Applied Mathematics and Computation
◽
10.1016/j.amc.2020.125472
◽
2020
◽
Vol 386
◽
pp. 125472
◽
Cited By ~ 1
Author(s):
J. Lars Kirkby
◽
Dang H. Nguyen
◽
Duy Nguyen
Keyword(s):
Markov Chain
◽
Option Pricing
◽
Continuous Time
◽
Continuous Time Markov Chain
◽
Markov Chain Approximation
◽
Chain Approximation
Download Full-text
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Cited By
References
Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: Option pricing and Greeks
Journal of Computational and Applied Mathematics
◽
10.1016/j.cam.2021.113901
◽
2021
◽
pp. 113901
Author(s):
Jingtang Ma
◽
Wensheng Yang
◽
Zhenyu Cui
Keyword(s):
Markov Chain
◽
Option Pricing
◽
Convergence Analysis
◽
Continuous Time
◽
Continuous Time Markov Chain
◽
Local Volatility
◽
Markov Chain Approximation
◽
Volatility Models
◽
Chain Approximation
◽
Stochastic Local Volatility
Download Full-text
A General Continuous Time Markov Chain Approximation for Multi-Asset Option Pricing With Systems of Correlated Diffusions
SSRN Electronic Journal
◽
10.2139/ssrn.3627361
◽
2020
◽
Author(s):
Justin Kirkby
◽
Dang Nguyen
◽
Duy Nguyen
Keyword(s):
Markov Chain
◽
Option Pricing
◽
Continuous Time
◽
Continuous Time Markov Chain
◽
Markov Chain Approximation
◽
Chain Approximation
Download Full-text
Convergence Analysis for Continuous-Time Markov Chain Approximation of Stochastic Local Volatility Models: Option Pricing and Greeks
SSRN Electronic Journal
◽
10.2139/ssrn.3716845
◽
2020
◽
Author(s):
Jingtang Ma
◽
Wensheng Yang
◽
Zhenyu Cui
Keyword(s):
Markov Chain
◽
Option Pricing
◽
Convergence Analysis
◽
Continuous Time
◽
Continuous Time Markov Chain
◽
Local Volatility
◽
Markov Chain Approximation
◽
Volatility Models
◽
Chain Approximation
◽
Stochastic Local Volatility
Download Full-text
Derivatives Pricing and Model Calibration Using Continuous Time Markov Chain Approximation Model
SSRN Electronic Journal
◽
10.2139/ssrn.2136822
◽
2012
◽
Author(s):
Chia Chun Lo
◽
Konstantinos Skindilias
Keyword(s):
Markov Chain
◽
Continuous Time
◽
Model Calibration
◽
Continuous Time Markov Chain
◽
Approximation Model
◽
Derivatives Pricing
◽
Markov Chain Approximation
◽
Chain Approximation
Download Full-text
Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models
SSRN Electronic Journal
◽
10.2139/ssrn.3943560
◽
2021
◽
Author(s):
Jingtang Ma
◽
Wensheng Yang
◽
Zhenyu Cui
Keyword(s):
Markov Chain
◽
Continuous Time
◽
Continuous Time Markov Chain
◽
Local Volatility
◽
Markov Chain Approximation
◽
Volatility Models
◽
Chain Approximation
◽
Stochastic Local Volatility
Download Full-text
Numerical Validation of the Continuous Time Markov Chain Approximation as a Service Level Estimation Method for Heterogeneous Customer Demand Classes
SSRN Electronic Journal
◽
10.2139/ssrn.3478614
◽
2019
◽
Author(s):
Oguzhan VICIL
Keyword(s):
Markov Chain
◽
Continuous Time
◽
Estimation Method
◽
Service Level
◽
Continuous Time Markov Chain
◽
Customer Demand
◽
Markov Chain Approximation
◽
Numerical Validation
◽
Demand Classes
◽
Chain Approximation
Download Full-text
Simultaneous Two-Dimensional Continuous-Time Markov Chain Approximation of Two-Dimensional Fully Coupled Markov Diffusion Processes
SSRN Electronic Journal
◽
10.2139/ssrn.3461115
◽
2019
◽
Author(s):
Yuejuan Xi
◽
Kailin Ding
◽
Ning Ning
Keyword(s):
Markov Chain
◽
Continuous Time
◽
Diffusion Processes
◽
Two Dimensional
◽
Continuous Time Markov Chain
◽
Markov Chain Approximation
◽
Markov Diffusion
◽
Chain Approximation
◽
Fully Coupled
Download Full-text
Convergence Rate Analysis for the Continuous-Time Markov Chain Approximation of Occupation Time Derivatives and Asian Option Greeks
SSRN Electronic Journal
◽
10.2139/ssrn.3307220
◽
2018
◽
Cited By ~ 2
Author(s):
Jingtang Ma
◽
Wensheng Yang
◽
Zhenyu Cui
Keyword(s):
Markov Chain
◽
Convergence Rate
◽
Continuous Time
◽
Occupation Time
◽
Asian Option
◽
Continuous Time Markov Chain
◽
Markov Chain Approximation
◽
Rate Analysis
◽
Chain Approximation
◽
Convergence Rate Analysis
Download Full-text
On a Markov chain approximation method for option pricing with regime switching
Journal of Industrial and Management Optimization
◽
10.3934/jimo.2016.12.529
◽
2015
◽
Vol 12
(2)
◽
pp. 529-541
Author(s):
Rongming Wang
◽
Tak Kuen Siu
◽
Yang Shen
◽
Kun Fan
Keyword(s):
Markov Chain
◽
Option Pricing
◽
Approximation Method
◽
Regime Switching
◽
Markov Chain Approximation
◽
Chain Approximation
Download Full-text
A Markov Chain Approximation for American Option Pricing in Tempered Stable-GARCH Models
Frontiers in Applied Mathematics and Statistics
◽
10.3389/fams.2015.00013
◽
2016
◽
Vol 1
◽
Author(s):
Xiang Shi
◽
Lihua Zhang
◽
Young S. A. Kim
Keyword(s):
Markov Chain
◽
Option Pricing
◽
American Option
◽
Garch Models
◽
American Option Pricing
◽
Markov Chain Approximation
◽
Chain Approximation
Download Full-text
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