An improved Markov chain approximation methodology: derivatives pricing and model calibration
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Publication:2941065
DOI10.1142/S0219024914500472zbMATH Open1304.91221MaRDI QIDQ2941065FDOQ2941065
Authors: Chia Chun Lo, Konstantinos Skindilias 
Publication date: 21 January 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Cites Work
- A jump-diffusion model for option pricing
- A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
- Financial scenario generation for stochastic multi-stage decision processes as facility location problems
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Option pricing when underlying stock returns are discontinuous
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Numerical Methods for Stochastic Control Problems in Continuous Time
- Option pricing with transaction costs using a Markov chain approximation
- American option pricing under GARCH by a Markov chain approximation
- Approximations for functionals and optimal control problems on jump diffusion processes
- Calibration and hedging under jump diffusion
- Calibration of the local volatility in a trinomial tree using Tikhonov regularization
- Stability of central finite difference schemes on non-uniform grids for the Black-Scholes equation
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
Cited In (20)
- 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
- SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL
- Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
- A Markov chain approximation scheme for option pricing under skew diffusions
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
- Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
- A general framework to simulate diffusions with discontinuous coefficients and local times
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- Downside risk measurement in regime switching stochastic volatility
- A General Valuation Framework for SABR and Stochastic Local Volatility Models
- Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation
- A general framework for time-changed Markov processes and applications
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- Maximum likelihood estimation of diffusions by continuous time Markov chain
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