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- W2949276422 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." @default.
- W2949276422 created "2019-06-27" @default.
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- W2949276422 date "2016-01-20" @default.
- W2949276422 modified "2023-10-16" @default.
- W2949276422 title "On A General Framework for Pricing Asian Options Under Markov Processes" @default.
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- W2949276422 hasPublicationYear "2016" @default.
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