Simultaneous Two-Dimensional Continuous-Time Markov Chain Approximation of Two-Dimensional Fully Coupled Markov Diffusion Processes

Yuejuan Xi, Kailin Ding, Ning Ning
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引用次数: 6

Abstract

In this paper, we propose a novel simultaneous two-dimensional continuous-time Markov chain (CTMC) approximation method, in contrast to the existing double-layer approach, to approximate the general fully coupled Markov diffusion processes which cover all the classical models. Extensive simulation studies on different kinds of financial option pricing problems in the European, American, and barrier settings, confirm that the proposed methodology has superior accuracy and outperforms the widely applicable Monte Carlo (MC) simulation approach consistently.
二维全耦合马尔可夫扩散过程的二维连续马尔可夫链近似
本文提出了一种新的二维连续时间马尔可夫链(CTMC)同时逼近方法,以逼近涵盖所有经典模型的一般全耦合马尔可夫扩散过程。对欧洲、美国和障碍设置下不同类型的金融期权定价问题进行了大量的仿真研究,证实了所提出的方法具有优越的准确性,并且始终优于广泛应用的蒙特卡罗(MC)模拟方法。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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