American Option Valuation under Continuous-Time Markov Chains
DOI10.1239/AAP/1435236980zbMATH Open1403.91339OpenAlexW1579449664MaRDI QIDQ5262446FDOQ5262446
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
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
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- A Jump-Diffusion Model for Option Pricing
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Optimal Stopping and the American Put
- Option pricing: A simplified approach
- Markov Processes, Brownian Motion, and Time Symmetry
- 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
- An Artificial Boundary Method for American Option Pricing under the CEV Model
- Irreversible decisions under uncertainty. Optimal stopping made easy
- Error estimates for the binomial approximation of American put options
- ON THE AMERICAN OPTION PROBLEM
- CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
- Convergence of the trinomial tree method for pricing European/American options
- Finite approximation schemes for Lévy processes, and their application to optimal stopping problems
- Exercise boundary of the American put near maturity in an exponential Lévy model
- The Smooth-Fit Property in an Exponential Lévy Model
Cited In (19)
- 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
- 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
- Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients
- CTMC integral equation method for American options under stochastic local volatility models
- A general approach for Parisian stopping times under Markov processes
- Pricing American drawdown options under Markov models
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
- Markov chain approximation of one-dimensional sticky diffusions
- American option pricing under GARCH by a Markov chain approximation
- Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior
- The Valuation of American Options with Stochastic Stopping Time Constraints
- 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
Recommendations
- Title not available (Why is that?) 👍 👎
- Title not available (Why is that?) 👍 👎
- Title not available (Why is that?) 👍 👎
- American option prices in a Markov chain market model 👍 👎
- American option valuation under stochastic interest rates 👍 👎
- American option pricing under GARCH by a Markov chain approximation 👍 👎
- Valuation of American continuous-installment options 👍 👎
- The Valuation of American Options for a Class of Diffusion Processes 👍 👎
- Pricing American drawdown options under Markov models 👍 👎
- The Valuation of American Options with Stochastic Stopping Time Constraints 👍 👎
This page was built for publication: American Option Valuation under Continuous-Time Markov Chains
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5262446)
