"Continuous-time Markov chain approximation for pricing Asian options under ..."

Ziqi Lei, Qing Zhou, Weilin Xiao (2025)

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DOI: 10.1080/03610918.2024.2334790

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type: Journal Article

metadata version: 2025-10-15

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Ziqi Lei, Qing Zhou, Weilin Xiao:
Continuous-time Markov chain approximation for pricing Asian options under rough stochastic local volatility models. Commun. Stat. Simul. Comput. 54(8): 3096-3117 (2025)

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