A Markov chain approximation scheme for option pricing under skew diffusions-Reference-Cited by-同舟云学术

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A Markov chain approximation scheme for option pricing under skew diffusions

Published:2020-07-29 Issue:3 Volume:21 Page:461-480
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Ding Kailin¹,Cui Zhenyu²^ORCID,Wang Yongjin³

Affiliation:

1. School of Mathematical Sciences, Nankai University, Tianjin 300071, People's Republic of China

2. School of Business, Stevens Institute of Technology, 1 Castle Point on Hudson, Hoboken, NJ 07030, USA

3. School of Business, Nankai University, Tianjin 300071, People's Republic of China

Funder

NSFC

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1781235

Reference84 articles.

1. First Passage Time of Skew Brownian Motion

2. Variance swaps valuation under non-affine GARCH models and their diffusion limits

3. Closed-form variance swap prices under general affine GARCH models and their continuous-time limits

4. Price Barriers and the Dynamics of Asset Prices in Equilibrium

5. Pricing timer options

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