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

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On the Numerical Solution of Mertonian Control Problems: A Survey of the Markov Chain Approximation Method for the Working Economist

Computational Economics ◽

10.1007/s10614-018-9865-y ◽

2018 ◽

Vol 54 (3) ◽

pp. 1179-1211

Author(s):

Simon Ellersgaard

Keyword(s):

Markov Chain ◽

Numerical Solution ◽

Approximation Method ◽

Control Problems ◽

Markov Chain Approximation ◽

Chain Approximation

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The Markov Chain Approximation Method: Introduction

Numerical Methods for Stochastic Control Problems in Continuous Time - Stochastic Modelling and Applied Probability ◽

10.1007/978-1-4613-0007-6_5 ◽

2001 ◽

pp. 67-88

Author(s):

Harold J. Kushner ◽

Paul Dupuis

Keyword(s):

Markov Chain ◽

Approximation Method ◽

Markov Chain Approximation ◽

Chain Approximation

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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

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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

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Option pricing with transaction costs using a Markov chain approximation

Journal of Economic Dynamics and Control ◽

10.1016/s0165-1889(03)00059-9 ◽

2004 ◽

Vol 28 (5) ◽

pp. 889-913 ◽

Author(s):

Michael Monoyios

Keyword(s):

Markov Chain ◽

Option Pricing ◽

Transaction Costs ◽

Markov Chain Approximation ◽

Chain Approximation

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A Markov chain approximation scheme for option pricing under skew diffusions

Quantitative Finance ◽

10.1080/14697688.2020.1781235 ◽

2020 ◽

pp. 1-20

Author(s):

Kailin Ding ◽

Zhenyu Cui ◽

Yongjin Wang

Keyword(s):

Markov Chain ◽

Option Pricing ◽

Approximation Scheme ◽

Markov Chain Approximation ◽

Chain Approximation

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A Markov Chain Approximation Scheme for Option Pricing Under Skew Diffusions

SSRN Electronic Journal ◽

10.2139/ssrn.3406811 ◽

2019 ◽

Author(s):

Kailin Ding ◽

Zhenyu Cui ◽

Yongjin Wang

Keyword(s):

Markov Chain ◽

Option Pricing ◽

Approximation Scheme ◽

Markov Chain Approximation ◽

Chain Approximation

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Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior

SSRN Electronic Journal ◽

10.2139/ssrn.3007318 ◽

2017 ◽

Author(s):

Lingfei Li ◽

Gongqiu Zhang

Keyword(s):

Markov Chain ◽

Option Pricing ◽

Convergence Behavior ◽

Markov Chain Approximation ◽

Grid Design ◽

Chain Approximation

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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 ◽

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

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The Markov Chain Approximation Method: Introduction

Numerical Methods for Stochastic Control Problems in Continuous Time ◽

10.1007/978-1-4684-0441-8_5 ◽

1992 ◽

pp. 67-88

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

Keyword(s):

Markov Chain ◽

Approximation Method ◽

Markov Chain Approximation ◽

Chain Approximation

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