Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks

DOI10.1016/j.cam.2021.113901zbMath1479.91408OpenAlexW3210608536MaRDI QIDQ2059661

Wensheng Yang, Jingtang Ma, Zhen-Yu Cui

Publication date: 14 December 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113901

zbMATH Keywords

greeksconvergence ratesoption pricingcontinuous-time Markov chainsstochastic local volatility models

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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