Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921): Difference between revisions

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English	Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models	scientific article

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scholarly article

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Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (English)

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Annals of Finance

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publication date

3 May 2021

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zbMATH Keywords

Asian options

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jump diffusion

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stochastic volatility

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regime switching

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Markov chain

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CTMC

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Fourier

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exotic option

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10436-020-00366-0

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PRICING ASIAN OPTIONS FOR JUMP DIFFUSION

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Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method

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American options in Lévy models with stochastic interest rates

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American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations

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Pricing exotic options under regime switching

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Estimating Security Price Derivatives Using Simulation

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Connecting discrete and continuous path-dependent options

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Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model

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A General Framework for Pricing Asian Options Under Markov Processes

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An improved convolution algorithm for discretely sampled Asian options

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A general framework for pricing Asian options under stochastic volatility on parallel architectures

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Option pricing under regime-switching jump-diffusion models

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Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps

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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps

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A General Valuation Framework for SABR and Stochastic Local Volatility Models

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Continuous-time Markov chain and regime switching approximations with applications to options pricing

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A general framework for time-changed Markov processes and applications

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Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes

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First hitting time of integral diffusions and applications

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The \(\alpha\)-hypergeometric stochastic volatility model

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Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models

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A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion

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Variance Reduction for Asian Options under a General Model Framework*

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Equivalence of floating and fixed strike Asian and lookback options

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Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model

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Option pricing and Esscher transform under regime switching

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Pricing and managing risks of European-style options in a Markovian regime-switching binomial model

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NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS

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A unified approach for the pricing of options relating to averages

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General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options

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BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

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THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL

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Bounds for in-progress floating-strike Asian options using symmetry

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On the equivalence of floating- and fixed-strike Asian options

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Pricing Interest-Rate-Derivative Securities

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A RECOMBINING TREE METHOD FOR OPTION PRICING WITH STATE-DEPENDENT SWITCHING RATES

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Efficient Option Pricing by Frame Duality with the Fast Fourier Transform

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Robust barrier option pricing by frame projection under exponential Lévy dynamics

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Static hedging and pricing of exotic options with payoff frames

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A unified approach to Bermudan and barrier options under stochastic volatility models with jumps

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An Efficient Transform Method for Asian Option Pricing

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A Jump-Diffusion Model for Option Pricing

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Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space

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Error analysis of finite difference and Markov chain approximations for option pricing

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Spectral Expansions for Asian (Average Price) Options

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REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING

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AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION

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Option pricing when underlying stock returns are discontinuous

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CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES

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Functional quantization for numerics with an application to option pricing

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Short Maturity Asian Options in Local Volatility Models

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FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS

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The value of an Asian option

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Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows

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Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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Pricing Asian options in a semimartingale model

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Option Pricing in a Jump-Diffusion Model with Regime Switching

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Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method

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Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes

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Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions

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Saddlepoint approximations to option price in a regime-switching model

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A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance

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Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S10436-020-00366-0

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Sitelinks

Mathematics(1 entry)

mardi Publication:2022921

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