American Option Valuation under Continuous-Time Markov Chains
DOI10.1239/AAP/1435236980zbMATH Open1403.91339OpenAlexW1579449664MaRDI QIDQ5262446FDOQ5262446
Authors: Bjorn Eriksson, Martijn R. Pistorius 
Publication date: 15 July 2015
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aap/1435236980
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Markov chainMarkov processfree boundarynumerical approximationoptimal stoppingvalue functionvaluationAmerian option
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) Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
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Cited In (25)
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
- American option prices in a Markov chain market model
- Analysis of Markov chain approximation for option pricing and hedging: grid design and convergence behavior
- A general method for analysis and valuation of drawdown risk
- Speed and duration of drawdown under general Markov models
- Markov chain approximation and measure change for time-inhomogeneous stochastic processes
- American option valuation under time changed tempered stable Lévy processes
- American Option Valuation with Particle Filters
- CTMC integral equation method for American options under stochastic local volatility models
- Valuation of boundary-linked assets by stochastic boundary value problems solved with a wavelet-collocation algorithm
- A general approach for Parisian stopping times under Markov processes
- Pricing American drawdown options under Markov models
- A Markov chain approximation scheme for option pricing under skew diffusions
- Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
- Markov chain approximation of one-dimensional sticky diffusions
- Error bounds and convergence for American put option pricing based on translation-invariant Markov chains.
- American option pricing under GARCH by a Markov chain approximation
- The Valuation of American Options with Stochastic Stopping Time Constraints
- Characteristic functions and option valuation in a Markov chain market
- Perpetual American maximum options with Markov-modulated dynamics
- A general approach for lookback option pricing under Markov models
- On the forward algorithm for stopping problems on continuous-time Markov chains
- Pricing and exercising American options: an asymptotic expansion approach
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