A General Framework for Pricing Asian Options Under Markov Processes.

Ning Cai Yingda Song Steven Kou

Published in: Oper. Res. (2015)

Keyphrases

markov processes
option pricing
black scholes model
double exponential
markov process
markov chain
stochastic processes
continuous time bayesian networks
stock price
non stationary
random fields
continuous time markov chains
steady state
machine learning
reinforcement learning
markov model