"Convergence analysis for continuous-time Markov chain approximation of ..."

Jingtang Ma, Wensheng Yang, Zhenyu Cui (2022)

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DOI: 10.1016/J.CAM.2021.113901

access: closed

type: Journal Article

metadata version: 2021-12-25

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Jingtang Ma, Wensheng Yang, Zhenyu Cui:
Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: Option pricing and Greeks. J. Comput. Appl. Math. 404: 113901 (2022)

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