American Option Valuation under Continuous-Time Markov Chains
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Publication:5262446
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)
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- scientific article; zbMATH DE number 1069622
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Cites work
- scientific article; zbMATH DE number 1577097 (Why is no real title available?)
- scientific article; zbMATH DE number 5016447 (Why is no real title available?)
- scientific article; zbMATH DE number 4034749 (Why is no real title available?)
- scientific article; zbMATH DE number 1222807 (Why is no real title available?)
- A jump-diffusion model for option pricing
- American-style derivatives. Valuation and computation.
- An Artificial Boundary Method for American Option Pricing under the CEV Model
- Continuously monitored barrier options under Markov processes
- Convergence of the trinomial tree method for pricing European/American options
- Error estimates for the binomial approximation of American put options
- Exercise boundary of the American put near maturity in an exponential Lévy model
- Finite approximation schemes for Lévy processes, and their application to optimal stopping problems
- Irreversible decisions under uncertainty. Optimal stopping made easy
- Markov Processes, Brownian Motion, and Time Symmetry
- ON THE AMERICAN OPTION PROBLEM
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Optimal Stopping and the American Put
- Option pricing: A simplified approach
- Perpetual American Options Under Lévy Processes
- Randomization and the American put
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- The smooth-fit property in an exponential Lévy model
Cited in
(25)- Pricing and exercising American options: an asymptotic expansion approach
- A general approach for Parisian stopping times under Markov processes
- American Option Valuation with Particle Filters
- A general method for analysis and valuation of drawdown risk
- American option pricing under GARCH by a Markov chain approximation
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
- American option prices in a Markov chain market model
- On the forward algorithm for stopping problems on continuous-time Markov chains
- Markov chain approximation and measure change for time-inhomogeneous stochastic processes
- Valuation of boundary-linked assets by stochastic boundary value problems solved with a wavelet-collocation algorithm
- American option valuation under time changed tempered stable Lévy processes
- Pricing American drawdown options under Markov models
- CTMC integral equation method for American options under stochastic local volatility models
- Error bounds and convergence for American put option pricing based on translation-invariant Markov chains.
- Speed and duration of drawdown under general Markov models
- Analysis of Markov chain approximation for option pricing and hedging: grid design and convergence behavior
- Perpetual American maximum options with Markov-modulated dynamics
- A general approach for lookback option pricing under Markov models
- The Valuation of American Options with Stochastic Stopping Time Constraints
- Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
- Markov chain approximation of one-dimensional sticky diffusions
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
- Characteristic functions and option valuation in a Markov chain market
- A Markov chain approximation scheme for option pricing under skew diffusions
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