Efficient Asian Option Pricing Under Regime Switching Jump Diffusions and Stochastic Volatility Models-Reference-Cited by-同舟云学术

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Efficient Asian Option Pricing Under Regime Switching Jump Diffusions and Stochastic Volatility Models

Published:2020 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Kirkby Justin,Nguyen Duy

Publisher

Elsevier BV

Reference57 articles.

1. Simple and Efficient Simulation of the Heston Stochastic Volatility Model;L Andersen;Journal of Computational Finance,2008

2. Jumps and stochastic volatility: exchange rate processes implicit in deutsche mark options;D Bates;Review of Financial Studies,1996

3. Pricing Asian option for jump diffusion;E Bayraktar;Mathematical Finance,2011

4. Ghost calibration and pricing double barrier options and credit default swaps in spectrally one-sided L�vy models: the parabolic Laplace inversion method;M Boyarchenko;Quantitative Finance,2015

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