A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
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Publication:1998282
DOI10.1016/J.MATCOM.2020.09.011OpenAlexW3087423436MaRDI QIDQ1998282FDOQ1998282
Authors: Idin Noorani, Farshid Mehrdoust, Abdelaziz Nasroallah 
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
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Cited In (9)
- An efficient algorithm for pricing reinsurance contract under the regime-switching model
- Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
- 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
- Correlation options pricing with exchange rate risk under regime-switching jump-diffusion models
- 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
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