Efficient Asian Option Pricing Under Regime Switching Jump Diffusions and Stochastic Volatility Models

2020 ◽  
Author(s):  
Justin Kirkby ◽  
Duy Nguyen
Keyword(s):  
Option Pricing ◽  
Stochastic Volatility ◽  
Regime Switching ◽  
Asian Option ◽  
Stochastic Volatility Models ◽  
Jump Diffusions ◽  
Volatility Models

Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs

2013 ◽  
Vol 94 ◽  
pp. 55-75 ◽  
Author(s):  
J.L. Fernández ◽  
A.M. Ferreiro ◽  
J.A. García-Rodríguez ◽  
A. Leitao ◽  
J.G. López-Salas ◽  
...  
Keyword(s):  
Option Pricing ◽  
Stochastic Volatility ◽  
Stochastic Volatility Models ◽  
Volatility Models
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