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

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

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

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 ◽

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

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

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

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 ◽

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 ◽

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

Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations

SSRN Electronic Journal ◽

10.2139/ssrn.3691568 ◽

2020 ◽

Author(s):

Zhenyu Cui ◽

Justin Kirkby ◽

Duy Nguyen

Keyword(s):

Markov Chain ◽

Local Volatility ◽

Efficient Simulation ◽

Volatility Models ◽

Markov Chain Approximations ◽

Stochastic Local Volatility

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