American Option Valuation under Continuous-Time Markov Chains

DOI10.1239/aap/1435236980zbMath1403.91339OpenAlexW1579449664MaRDI QIDQ5262446

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

zbMATH Keywords

optimal stoppingMarkov processMarkov chainnumerical approximationfree boundaryvalue functionvaluationAmerian option

Mathematics Subject Classification ID

Dynamic programming (90C39) Numerical analysis or methods applied to Markov chains (65C40) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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