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

DOI10.1016/j.jedc.2021.104145zbMath1475.91401MaRDI 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 equation; American option pricing; continuous-time Markov chains; early exercise premium; stochastic local volatility models

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65R20: Numerical methods for integral equations

91B70: Stochastic models in economics

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

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