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

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)

Cites Work

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
An Efficient Transform Method for Asian Option Pricing
BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
Spectral Expansions for Asian (Average Price) Options
A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
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Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
An improved convolution algorithm for discretely sampled Asian options
First hitting time of integral diffusions and applications
Estimating Security Price Derivatives Using Simulation
Options on realized variance by transform methods: a non-affine stochastic volatility model
Pricing average options under time-changed Lévy processes
General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
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A General Framework for Pricing Asian Options Under Markov Processes
Equivalence of floating and fixed strike Asian and lookback options
Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
Simulating Lévy Processes from Their Characteristic Functions and Financial Applications
Variance Reduction for Asian Options under a General Model Framework*
A transform-based method for pricing Asian options under general two-dimensional models
A general framework for pricing Asian options under stochastic volatility on parallel architectures
Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space

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