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

By J. Kirkby, Duy Nguyen. Annals of Finance, 2020

66 citations recorded by the source corpus.

Subfields: Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/1fdcd37af92715201a64629846575797c8e53ee4

Citations in the corpus

• A General Valuation Framework for SABR and Stochastic Local Volatility Models (2018, unknown): “Prices of the proposed method (CTMC) are compared with Monte Carlo, as well as the RSF method of Kirkby, Nguyen, and Cui (2017) for European, American, and barrier options (with monitoring frequency of M = 250) and Kirkby and Nguyen (2016) for Asian options (with M = 50).”