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

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

zbMATH Keywords

greeks; convergence rates; option pricing; continuous-time Markov chains; stochastic local volatility models

Mathematics Subject Classification ID

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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