Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
type: Item
instance of: scholarly article
title: Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
zbMATH Open document ID: 1461.91315
author: Yanyan Li
published in: Annals of Finance
publication date: 2021-05-03T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60J28
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 7341678
zbMATH Keywords: Asian options
zbMATH Keywords: jump diffusion
zbMATH Keywords: stochastic volatility
zbMATH Keywords: regime switching
zbMATH Keywords: Markov chain
zbMATH Keywords: CTMC
zbMATH Keywords: Fourier
zbMATH Keywords: exotic option
MaRDI profile type: Publication
full work available at URL: s10436-020-00366-0
OpenAlex ID: W3033155756
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Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (DOI)
DOI: 10.1007/S10436-020-00366-0