25
views
0
recommends
+1 Recommend
0 collections
    0
    shares
      • Record: found
      • Abstract: found
      • Article: found
      Is Open Access

      On "A General Framework for Pricing Asian Options Under Markov Processes"

      Preprint

      Read this article at

      Bookmark
          There is no author summary for this article yet. Authors can add summaries to their articles on ScienceOpen to make them more accessible to a non-specialist audience.

          Abstract

          Cai, Song and Kou (2015) [Cai, N., Y. Song, S. Kou (2015) A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3): 540-554] made a breakthrough by proposing a general framework for pricing both discretely and continuously monitored Asian options under one-dimensional Markov processes. In this note, under the setting of continuous-time Markov chain (CTMC), we explicitly carry out the inverse Z-transform and the inverse Laplace transform respectively for the discretely and the continuously monitored cases. The resulting explicit single Laplace transforms improve their Theorem 2, p.543, and numerical studies demonstrate the gain in efficiency.

          Related collections

          Author and article information

          Journal
          1601.05306

          Financial economics
          Financial economics

          Comments

          Comment on this article