Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: Option pricing and Greeks.
Jingtang MaWensheng YangZhenyu CuiPublished in: J. Comput. Appl. Math. (2022)
Keyphrases
- markov chain
- stochastic process
- transition probabilities
- markov processes
- monte carlo
- convergence analysis
- monte carlo method
- option pricing
- state space
- transition matrix
- stationary distribution
- stock price
- stochastic processes
- markov models
- bayesian networks
- stock market
- probabilistic model
- approximation algorithms
- approximation methods
- random variables
- real option
- markov random field
- special case