Markov cubature rules for polynomial processes
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American optionsasymptotic momentscubature rulepolynomial processtransition probabilitiestransition rate matrix
General theory of stochastic processes (60G07) Applications of stochastic analysis (to PDEs, etc.) (60H30) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on general state spaces (60J25) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60)
Abstract: We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as Markov cubature rules. The polynomial property allows us to study such rules using algebraic techniques. Markov cubature rules aid the tractability of path-dependent tasks such as American option pricing in models where the underlying factors are polynomial processes.
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Cites work
- A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations
- A Diffusion Limit for Generalized Correlated Random Walks
- A Jump‐diffusion Model for Exchange Rates in a Target Zone
- A note on Tchakaloff’s Theorem
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- An interest rate model with upper and lower bounds
- Calculating the Greeks by cubature formulae
- Cubature Kalman Filters
- Cubature methods for stochastic (partial) differential equations in weighted spaces
- Cubature on Wiener space
- Cubature on Wiener space in infinite dimension
- DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE
- Error estimates for binomial approximations of game options
- scientific article; zbMATH DE number 3878095 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 765034 (Why is no real title available?)
- Polynomial diffusion models for life insurance liabilities
- Polynomial diffusions and applications in finance
- Polynomial jump-diffusion models
- Polynomial processes and their applications to mathematical finance
- Polynomial processes in stochastic portfolio theory
- Quantization goes polynomial
- Recombining tree approximations for optimal stopping for diffusions
- Second order discretization of backward SDEs and simulation with the cubature method
- Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
- The adaptive patched cubature filter and its implementation
- The Jacobi stochastic volatility model
- The proof of Tchakaloff’s Theorem
Cited in
(8)- Markov processes and some PCF quadratic polynomials
- Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View)
- Quantization goes polynomial
- Cubature Method for Stochastic Volterra Integral Equations
- Abstract polynomial processes
- Moments of generalized fractional polynomial processes
- Polynomial processes and their applications to mathematical finance
- Polynomial Volterra processes
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