Pricing and hedging autocallable products by Markov chain approximation
Sign Up to like & getrecommendations! Published in 2024 at "Review of Derivatives Research"
DOI: 10.1007/s11147-024-09206-z
Abstract: We propose a unified pricing framework based on continuous-time Markov chain (CTMC) approximation for autocallable structured products. Our method is applicable to a variety of asset price models, including one-dimensional Markov jump-diffusions (the coefficients can… read more here.
Keywords: autocallable products; markov chain; chain approximation; approximation ... See more keywords
A Markov chain approximation scheme for option pricing under skew diffusions
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DOI: 10.1080/14697688.2020.1781235
Abstract: In this paper, we propose a general valuation framework for option pricing problems related to skew diffusions based on a continuous-time Markov chain approximation to the underlying stochastic process. We obtain an explicit closed-form approximation… read more here.
Keywords: approximation; chain approximation; markov chain; option pricing ... See more keywords