Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps
Author:
Funder
National Natural Science Foundation of China
Shenzhen Fundamental Research Program
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s10915-023-02438-5.pdf
Reference37 articles.
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3. Boyd, J.P.: Chebyshev and Fourier Spectral Methods, 1st edn. Springer-Verlag, Berlin Heidelberg (1989)
4. Broadie, M., Glasserman, P.: Estimating security price derivatives using simulation. Manag. Sci. 42(2), 269–285 (1996)
5. Cai, N., Song, Y., Kou, S.: A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3), 540–554 (2015)
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