Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps

This paper proposes a unified approach for pricing discretely monitored floating and fixed strike Asian options under a broad class of regime-switching and stochastic volatility models with jumps. The randomness in volatility can be either characterized by regime switching among discrete market stat...

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Vydané v:	Journal of scientific computing Ročník 98; číslo 2; s. 47
Hlavní autori:	Zhang, Weinan, Zeng, Pingping, Zhang, Gongqiu, Kwok, Yue Kuen
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	New York Springer US 01.02.2024 Springer Nature B.V
Predmet:	Algorithms Approximation Computational Mathematics and Numerical Analysis Cosine series Diffusion Error analysis Fourier series Fourier transforms Mathematical and Computational Engineering Mathematical and Computational Physics Mathematics Mathematics and Statistics Methods Partial differential equations Pricing Quadratures Queuing theory Randomness Securities prices Series expansion Stochastic models Switching Theoretical Valuation Volatility Discretely monitored Asian options 91G60 60E10 65T99 91G20 65D15 Floating and fixed strikes Fourier-cosine series expansion
ISSN:	0885-7474, 1573-7691
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