Continuous-time Markov chain and regime switching approximations with applications to options pricing

DOI10.1007/978-3-030-25498-8_6MaRDI QIDQ2337422zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 20 November 2019

Full work available at URL https://doi.org/10.1007/978-3-030-25498-8_6

zbMATH Keywords

continuous-time Markov chainoptions pricingpath-dependent financial derivatives

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Numerical analysis or methods applied to Markov chains (65C40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(22)

• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
• Pricing American drawdown options under Markov models
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• Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
• Markets with random lifetimes and private values: mean reversion and option to trade
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
• scientific article; zbMATH DE number 1944280 (Why is no real title available?)
• A Markov chain approximation scheme for option pricing under skew diffusions
• A generalized Esscher transform for option valuation with regime switching risk
• Stochastic Approximation Algorithms for Parameter Estimation in Option Pricing with Regime Switching
• Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
• Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
• A general framework to simulate diffusions with discontinuous coefficients and local times
• Continuous-time Markov chain approximation for pricing Asian options under rough stochastic local volatility models
• Pricing guaranteed minimum death benefits with dollar cost averaging under time-changed Lévy models
• A general valuation framework for rough stochastic local volatility models and applications
• A unifying approach for the pricing of debt securities
• Duality and transform analysis for non-decreasing functionals of stochastic processes and their applications

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