Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
J. Lars Kirkby, Duy Nguyen
| Year of publication: |
2020
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|---|---|
| Authors: | Kirkby, J. Lars ; Nguyen, Duy |
| Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 16.2020, 3, p. 307-351
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| Subject: | Asian options | Jump diffusion | Stochastic volatility | Regime switching | Markov chain | CTMC | Fourier | Exotic option | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Markov-Kette |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10436-020-00366-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012496337