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Quantitative Finance Volume 21, 2021 - Issue 3
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Research Papers

A Markov chain approximation scheme for option pricing under skew diffusions

Kailin Ding† School of Mathematical Sciences, Nankai University, Tianjin300071, People's Republic of ChinaView further author information
,
Zhenyu Cui‡ School of Business, Stevens Institute of Technology, 1 Castle Point on Hudson, Hoboken, NJ07030, USACorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0001-9429-7121View further author information
ORCID Icon &
Yongjin Wang§ School of Business, Nankai University, Tianjin300071, People's Republic of ChinaView further author information
Pages 461-480 | Received 18 Jun 2019, Accepted 05 Jun 2020, Published online: 29 Jul 2020

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Read on this site (3)

Olivier Menoukeu-Pamen, Guangli Xu & Xiaoyang Zhuo. (2023) Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model. Quantitative Finance 23:5, pages 843-862.
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Shiyu Song, Xingchun Wang & Xiaowen Zhang. (2023) Valuation of spread options under correlated skew Brownian motions. The European Journal of Finance 0:0, pages 1-21.
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Yuanchuang Shan, Haoran Yi, Xuekang Zhang & Huisheng Shu. (2023) Option pricing under a Markov-modulated Merton jump-diffusion dividend. Communications in Statistics - Theory and Methods 52:5, pages 1490-1506.
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Articles from other publishers (8)

Yuecai Han & Dingwen Zhang. (2023) Modified trajectory fitting estimators for multi‐regime threshold Ornstein–Uhlenbeck processes. Stat 12:1.
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Wei Zhong, Zhenyu Cui & Zhimin Zhang. (2023) Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk. Journal of Computational and Applied Mathematics 422, pages 114914.
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Yaozhong Hu & Yuejuan Xi. (2022) Parameter estimation for threshold Ornstein–Uhlenbeck processes from discrete observations. Journal of Computational and Applied Mathematics 411, pages 114264.
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Benjamín Vallejo-Jiménez, Francisco Venegas-Martínez, Oscar V. De la Torre-Torres & José Álvarez-García. (2022) Simulating Portfolio Decisions under Uncertainty When the Risky Asset and Short Rate Are Modulated by an Inhomogeneous and Asset-Dependent Markov Chain. Mathematics 10:16, pages 2926.
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Milan Kumar Das, Henghsiu Tsai, Ioannis Kyriakou & Gianluca Fusai. (2022) Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum Distributions. Operations Research 70:4, pages 1984-1995.
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Puneet Pasricha & Xin-Jiang He. (2022) Skew-Brownian motion and pricing European exchange options. International Review of Financial Analysis 82, pages 102120.
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Kailin Ding & Ning Ning. (2021) Markov chain approximation and measure change for time-inhomogeneous stochastic processes. Applied Mathematics and Computation 392, pages 125732.
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Peng Zhu, Kun Xia & Xuewei Yang. (2020) Delta Hedging and Volatility-Price Elasticity: A Two-Step Approach. SSRN Electronic Journal.
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