Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models.
Duy-Minh DangDuy NguyenGranville SewellPublished in: Comput. Math. Appl. (2016)
Keyphrases
- state dependent
- diffusion models
- markov chain
- option pricing
- black scholes model
- steady state
- diffusion model
- information diffusion
- stationary distribution
- optimal policy
- social networks
- queueing networks
- single server
- queue length
- arrival rate
- asymptotically optimal
- influence maximization
- transition probabilities
- inventory level
- greedy algorithm
- viral marketing
- random walk
- state space
- special case