Numerical Schemes for Pricing Asian Options Under State-Dependent Regime-Switching Jump-Diffusion Models

2015 ◽  
Author(s):  
Duy-Minh Dang ◽  
Duy Nguyen ◽  
Granville Sewell
Keyword(s):  
Regime Switching ◽  
Jump Diffusion ◽  
Diffusion Models ◽  
Asian Options ◽  
Numerical Schemes ◽  
State Dependent

scholarly journals Option pricing under regime-switching jump–diffusion models

2014 ◽  
Vol 256 ◽  
pp. 152-167 ◽  
Author(s):  
Massimo Costabile ◽  
Arturo Leccadito ◽  
Ivar Massabó ◽  
Emilio Russo
Keyword(s):  
Option Pricing ◽  
Regime Switching ◽  
Jump Diffusion ◽  
Diffusion Models
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