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

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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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+Q4840212
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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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