CTMC integral equation method for American options under stochastic local volatility models
From MaRDI portal
Publication:2246620
DOI10.1016/j.jedc.2021.104145zbMath1475.91401OpenAlexW3160939411MaRDI QIDQ2246620
Jingtang Ma, Wensheng Yang, Zhen-Yu Cui
Publication date: 16 November 2021
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104145
integral equationAmerican option pricingcontinuous-time Markov chainsearly exercise premiumstochastic local volatility models
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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