Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes

DOI10.1080/14697688.2016.1149610zbMath1400.91623OpenAlexW3125425549MaRDI QIDQ4554509

Yue Kuen Kwok, Pingping Zeng

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1149610

zbMATH Keywords

time-changed Lévy processesarithmetic Asian optionsconditioning variable approachpartially exact and bounded approximations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

A general framework for time-changed Markov processes and applications ⋮ A dynamic equilibrium model for U-shaped pricing kernels ⋮ Pricing ratchet equity index annuity with mortality risk by complex Fourier series method ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps ⋮ A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance ⋮ A general framework for pricing Asian options under stochastic volatility on parallel architectures ⋮ Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models ⋮ Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models

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