{"title":"粗略随机局部波动率模型下亚洲期权定价的连续时间马尔可夫链近似法","authors":"Ziqi Lei, Qing Zhou, Weilin Xiao","doi":"10.1080/03610918.2024.2334790","DOIUrl":null,"url":null,"abstract":"We propose a general framework for pricing both discretely and continuously monitored arithmetic average Asian options whose underlying asset price satisfies the rough stochastic local volatility m...","PeriodicalId":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Continuous-time Markov chain approximation for pricing Asian options under rough stochastic local volatility models\",\"authors\":\"Ziqi Lei, Qing Zhou, Weilin Xiao\",\"doi\":\"10.1080/03610918.2024.2334790\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We propose a general framework for pricing both discretely and continuously monitored arithmetic average Asian options whose underlying asset price satisfies the rough stochastic local volatility m...\",\"PeriodicalId\":0,\"journal\":{\"name\":\"\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0,\"publicationDate\":\"2024-04-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1080/03610918.2024.2334790\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/03610918.2024.2334790","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Continuous-time Markov chain approximation for pricing Asian options under rough stochastic local volatility models
We propose a general framework for pricing both discretely and continuously monitored arithmetic average Asian options whose underlying asset price satisfies the rough stochastic local volatility m...
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