Pricing Asian options of discretely monitored geometric average in the regime-switching model

DOI10.1002/ASMB.2183zbMATH Open1420.91469OpenAlexW2472908600MaRDI QIDQ4620168FDOQ4620168

Authors Jerim Kim, Hyun Joo Yoo, Tae-wan Kim 

Publication date 8 February 2019

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.2183

zbMATH Keywords

regime-switchingdiscrete monitoringdeltaoption pricegeometric Asian option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

Recommendations

• A recursive method for discretely monitored geometric Asian option prices
• Asian option as a fixed-point
• scientific article; zbMATH DE number 6311401
• A general framework for pricing Asian options under Markov processes
• Pricing exotic options under regime switching

Cited In (5)

• A recursive method for discretely monitored geometric Asian option prices
• Asian option as a fixed-point
• Variance swaps under the threshold Ornstein-Uhlenbeck model
• Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
• Pricing of power options under the regime-switching model

This page was built for publication: Pricing Asian options of discretely monitored geometric average in the regime-switching model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4620168)