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

2020 ◽  
Author(s):  
Jingtang Ma ◽  
Wensheng Yang ◽  
Zhenyu Cui
Keyword(s):  
Markov Chain ◽  
Option Pricing ◽  
Convergence Analysis ◽  
Continuous Time ◽  
Continuous Time Markov Chain ◽  
Local Volatility ◽  
Markov Chain Approximation ◽  
Volatility Models ◽  
Chain Approximation ◽  
Stochastic Local Volatility
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