Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks
From MaRDI portal
Publication:2059661
DOI10.1016/j.cam.2021.113901zbMath1479.91408MaRDI 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
greeks; convergence rates; option pricing; continuous-time Markov chains; stochastic local volatility models
91B70: Stochastic models in economics
91G20: Derivative securities (option pricing, hedging, etc.)
60J28: Applications of continuous-time Markov processes on discrete state spaces
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