CTMC integral equation method for American options under stochastic local volatility models
Jingtang Ma, Wensheng Yang, Zhenyu Cui
| Year of publication: |
2021
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|---|---|
| Authors: | Ma, Jingtang ; Yang, Wensheng ; Cui, Zhenyu |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 128.2021, p. 1-21
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| Subject: | Continuous-time Markov chains | Stochastic local volatility models | American option pricing | Early exercise premium | Integral equation | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2021.104145 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012628259