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Chantal Labbé

HEC Montreal

3000, Chemin de la Côte-Sainte-Catherine

Montreal, Quebec H2X 2L3

Canada

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A Simple Discretization Scheme for Nonnegative Diffusion Processes, with Applications to Option Pricing

Number of pages: 27 Posted: 08 Jun 2010 Last Revised: 16 Nov 2010
Chantal Labbé, Bruno Remillard and Jean-Francois Renaud
HEC Montreal, Department of Decision Sciences, HEC Montreal and University of Quebec at Montreal (UQAM)
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Abstract:

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Euler discretization schemes, nonnegativity preservation, diffusion processes, Markov chains, martingale problem, convergence in distribution, interest rate models, stochastic volatility models, path-dependent options