A general approach for Parisian stopping times under Markov processes

DOI10.1007/s00780-023-00505-1zbMath1520.91408arXiv2107.06605OpenAlexW3184215451MaRDI QIDQ6111010

Gongqiu Zhang, Lingfei Li

Publication date: 6 July 2023

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.06605

zbMATH Keywords

Parisian optionsMarkov chain approximationgrid designParisian stopping timeParisian ruin probability

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (2)

A general approach for lookback option pricing under Markov models ⋮ Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation

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