Convergence Analysis for Continuous-Time Markov Chain Approximation of Stochastic Local Volatility Models : Option Pricing and Greeks

This paper establishes the precise second order convergence rates of the continuous-time Markov chain (CTMC) approximation method for pricing options and calculating its Greeks under the general framework of stochastic local volatility models, which include the Heston and SABR models as special cases. Numerical examples confirm the theoretical findings

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Year of publication:	[2020]
Authors:	Ma, Jingtang ; Yang, Wensheng ; Cui, Zhenyu
Publisher:	[S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Markov-Kette \| Markov chain \| Griechenland \| Greece

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Extent:	1 Online-Ressource (20 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 22, 2020 erstellt
Other identifiers:	10.2139/ssrn.3716845 [DOI]
Classification:	C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014349082