A transform-based method for pricing Asian options under general two-dimensional models
Author:
Affiliation:
1. School of Mathematics, Harbin Institute of Technology, Harbin, People's Republic of China
2. Department of Mathematics, Southern University of Science and Technology, Shenzhen, People's Republic of China
Funder
National Natural Science Foundation of China
Philosophy and Social Science Planning
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2256358
Reference74 articles.
1. Static Hedging of Asian Options under Lévy Models
2. The pricing of discretely sampled Asian and lookback options: a change of numeraire approach
3. EXACT SIMULATION OF THE 3/2 MODEL
4. Fast Fourier transform for discrete Asian options
5. DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS
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1. Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps;Journal of Scientific Computing;2024-01-17
2. Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps;Operations Research Letters;2023-11
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