Error analysis of finite difference and Markov chain approximations for option pricing-Reference-Cited by-同舟云学术

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Error analysis of finite difference and Markov chain approximations for option pricing

Published:2017-08-25 Issue:3 Volume:28 Page:877-919
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Li Lingfei¹,Zhang Gongqiu²

Affiliation:

1. Department of Systems Engineering and Engineering Management; The Chinese University of Hong Kong

2. Economics and Management School; Wuhan University

Funder

Hong Kong Research Grant Council General Research Fund

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12161/fullpdf

Reference45 articles.

1. Feller processes of normal inverse Guassian type;Barndorff-Nielsen;Quantitative Finance,2001

2. The eigenfunction expansion method in multifactor quadratic term structure models;Boyarchenko;Mathematical Finance,2007

3. Efficient pricing barrier options and CDS in Lévy models with stochastic interest rates;Boyarchenko;Mathematical Finance,2017

4. American option valuations: New bounds, approximations, and a comparison of existing methods;Broadie;Review of Financial Studies,1996

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