Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps

DOI10.1007/S10915-023-02438-5MaRDI QIDQ6182318zbMATH OpenWikidataFDO

Authors Weinan Zhang, Pingping Zeng, Gongqiu Zhang, Yue Kuen Kwok

Publication date 25 January 2024

Published in Journal of Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

Fourier-cosine series expansiondiscretely monitored Asian optionsfloating and fixed strikes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Algorithms for approximation of functions (65D15) Jump processes on discrete state spaces (60J74)

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Cites work

• scientific article; zbMATH DE number 43996 (Why is no real title available?)
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Cited in

(1)

• On pricing of discrete Asian and Lookback options under the Heston model

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