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

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

Cites Work

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Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
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Equivalence of floating and fixed strike Asian and lookback options
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First hitting time of integral diffusions and applications
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Estimating Security Price Derivatives Using Simulation
BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
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Options on realized variance by transform methods: a non-affine stochastic volatility model
A transform-based method for pricing Asian options under general two-dimensional models

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