Continuous-time Markov chain approximation for pricing Asian options under rough stochastic local volatility models-Reference-Cited by-同舟云学术

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Continuous-time Markov chain approximation for pricing Asian options under rough stochastic local volatility models

Published:2024-04-12 Issue: Volume: Page:1-22
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Lei Ziqi¹,Zhou Qing²^ORCID,Xiao Weilin³^ORCID

Affiliation:

1. School of Economics and Management, Beihang University, Beijing, China

2. School of Science, Key Laboratory of Mathematics and Information Networks, Ministry of Education, Beijing University of Posts and Telecommunications, Beijing, China

3. School of Management, Zhejiang University, Hangzhou, China

Funder

the Humanities and Social Sciences of Ministry of Education Planning Fund of China

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2024.2334790

Reference36 articles.

1. Pricing under rough volatility

2. Decoupling the Short- and Long-Term Behavior of Stochastic Volatility

3. A General Framework for Pricing Asian Options Under Markov Processes

4. Multidimensional Transform Inversion with Applications to the Transient M/G/1 Queue

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