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Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models

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  1. Kirkby, J. Lars & Nguyen, Dang H. & Nguyen, Duy, 2020. "A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions," Applied Mathematics and Computation, Elsevier, vol. 386(C).
  2. Sarit Maitra & Vivek Mishra & Goutam Kr. Kundu & Kapil Arora, 2023. "Integration of Fractional Order Black-Scholes Merton with Neural Network," Papers 2310.04464, arXiv.org, revised Oct 2023.
  3. Kailin Ding & Zhenyu Cui & Xiaoguang Yang, 2023. "Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 217-241, February.
  4. Marcos Escobar-Anel & Zhenxian Gong, 2021. "Mean-Reverting 4/2 Principal Components Model. Financial Applications," Risks, MDPI, vol. 9(8), pages 1-23, July.
  5. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "A data-driven framework for consistent financial valuation and risk measurement," European Journal of Operational Research, Elsevier, vol. 289(1), pages 381-398.
  6. Florian Aichinger & Sascha Desmettre, 2025. "Pricing of geometric Asian options in the Volterra-Heston model," Review of Derivatives Research, Springer, vol. 28(1), pages 1-30, April.
  7. Ding, Kailin & Ning, Ning, 2021. "Markov chain approximation and measure change for time-inhomogeneous stochastic processes," Applied Mathematics and Computation, Elsevier, vol. 392(C).
  8. Haim Levy & Moshe Levy, 2024. "Option Pricing with the Logistic Return Distribution," JRFM, MDPI, vol. 17(2), pages 1-17, February.
  9. Benedikt Geuchen & Katharina Oberpriller & Thorsten Schmidt, 2022. "Affine models with path-dependence under parameter uncertainty and their application in finance," Papers 2207.13350, arXiv.org, revised Jun 2024.
  10. Kirkby, J. Lars, 2023. "Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation," European Journal of Operational Research, Elsevier, vol. 305(2), pages 961-978.
  11. Zhang, Zhimin & Zhong, Wei, 2024. "Efficient valuation of guaranteed minimum accumulation benefits in regime switching jump diffusion models with lapse risk," Applied Mathematics and Computation, Elsevier, vol. 478(C).
  12. Liu, Yuanyuan & Wen, Zhexin, 2024. "Two-time-scale stochastic functional differential equations with wideband noises and jumps," Chaos, Solitons & Fractals, Elsevier, vol. 182(C).
  13. Weinan Zhang & Pingping Zeng, 2023. "A transform-based method for pricing Asian options under general two-dimensional models," Quantitative Finance, Taylor & Francis Journals, vol. 23(11), pages 1677-1697, November.
  14. Kirkby, J.L. & Nguyen, Dang H. & Nguyen, Duy & Nguyen, Nhu N., 2022. "Maximum likelihood estimation of diffusions by continuous time Markov chain," Computational Statistics & Data Analysis, Elsevier, vol. 168(C).
  15. Kirkby, J. Lars & Mitra, Sovan & Nguyen, Duy, 2020. "An analysis of dollar cost averaging and market timing investment strategies," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1168-1186.
  16. Kirkby, J. Lars & Nguyen, Duy, 2021. "Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 408-428.
  17. Kim, Sung Ik, 2023. "A comparative study of firm value models: Default risk of corporate bonds," Finance Research Letters, Elsevier, vol. 56(C).
  18. Chih-Chen Hsu & Chung-Gee Lin & Tsung-Jung Kuo, 2020. "Pricing of Arithmetic Asian Options under Stochastic Volatility Dynamics: Overcoming the Risks of High-Frequency Trading," Mathematics, MDPI, vol. 8(12), pages 1-16, December.
  19. Vitaliy Golomoziy & Kamil Kladivko & Yuliya Mishura, 2025. "Discrete-time weak approximation of a Black-Scholes model with drift and volatility Markov switching," Papers 2501.06895, arXiv.org.
  20. Yue Qi & Yue Wang, 2023. "Innovating and Pricing Carbon-Offset Options of Asian Styles on the Basis of Jump Diffusions and Fractal Brownian Motions," Mathematics, MDPI, vol. 11(16), pages 1-22, August.
  21. Alessandra Cretarola & Gianna Figà-Talamanca & Marco Patacca, 2025. "Option pricing in a sentiment-biased stochastic volatility model," Annals of Finance, Springer, vol. 21(1), pages 69-95, March.
  22. Dammak, Wael & Hamad, Salah Ben & de Peretti, Christian & Eleuch, Hichem, 2023. "Pricing of European currency options considering the dynamic information costs," Global Finance Journal, Elsevier, vol. 58(C).
  23. Dmitry A. Endovitsky & Viacheslav V. Korotkikh & Denis A. Khripushin, 2021. "Equity Risk and Return across Hidden Market Regimes," Risks, MDPI, vol. 9(11), pages 1-21, October.
  24. He, Xin-Jiang & Lin, Sha, 2023. "Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  25. Yayun Wang, 2023. "Pricing a Specific Equity Index Annuity in a Regime-Switching Lévy Model with Jump," Computational Economics, Springer;Society for Computational Economics, vol. 61(3), pages 1115-1135, March.
  26. Wang, Yayun & Zhang, Zhimin & Yu, Wenguang, 2021. "Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model," Applied Mathematics and Computation, Elsevier, vol. 399(C).
  27. He, Xin-Jiang & Pasricha, Puneet & Lin, Sha, 2024. "Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles," Economic Modelling, Elsevier, vol. 139(C).
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