{"title":"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","authors":"Yuejuan Xi, Kailin Ding, Ning Ning","doi":"10.2139/ssrn.3461115","DOIUrl":null,"url":null,"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.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"98 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2019-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"Simultaneous Two-Dimensional Continuous-Time Markov Chain Approximation of Two-Dimensional Fully Coupled Markov Diffusion Processes\",\"authors\":\"Yuejuan Xi, Kailin Ding, Ning Ning\",\"doi\":\"10.2139/ssrn.3461115\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":11465,\"journal\":{\"name\":\"Econometrics: Econometric & Statistical Methods - General eJournal\",\"volume\":\"98 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-09-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometrics: Econometric & Statistical Methods - General eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3461115\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometrics: Econometric & Statistical Methods - General eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3461115","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.