CTMC integral equation method for American options under stochastic local volatility models

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

zbMATH Keywords

integral equationAmerican option pricingcontinuous-time Markov chainsearly exercise premiumstochastic local volatility models

Mathematics Subject Classification ID

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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