A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
From MaRDI portal
Publication:1998282
DOI10.1016/J.MATCOM.2020.09.011OpenAlexW3087423436MaRDI QIDQ1998282FDOQ1998282
Farshid Mehrdoust, Abdelaziz Nasroallah, Idin Noorani
Publication date: 6 March 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2020.09.011
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Stochastic differential equations. An introduction with applications.
- Stochastic calculus for finance. II: Continuous-time models.
- Pricing exotic options under regime switching
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Monte Carlo methods for security pricing
- The cumulant process and Esscher's change of measure
- A stochastic calculus model of continuous trading: Complete markets
- Stochastic population dynamics under regime switching
- Information and option pricings
- Option pricing and Esscher transform under regime switching
- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
- Estimating models based on Markov jump processes given fragmented observation series
- K-antithetic variates in Monte Carlo simulation
- A new hybrid Monte Carlo simulation for Asian options pricing
- A Dynamic Programming Procedure for Pricing American-Style Asian Options
- Regime-switching stochastic volatility model: estimation and calibration to VIX options
- Modified B-spline collocation approach for pricing American style Asian options
Cited In (8)
- Title not available (Why is that?)
- An efficient algorithm for pricing reinsurance contract under the regime-switching model
- Stochastic stability analysis of particle swarm optimization with pseudo random number assignment strategy
- An integral equation approach for pricing American put options under regime-switching model
- Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
- Option pricing with exchange rate risk under regime-switching multi-scale jump-diffusion models
- Pricing of spread and exchange options in a rough jump-diffusion market
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
This page was built for publication: A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1998282)
