CTMC integral equation method for American options under stochastic local volatility models
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
|
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 | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
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