Zhang, Weinan; Zeng, Pingping A transform-based method for pricing Asian options under general two-dimensional models. (English) Zbl 07778535 Quant. Finance 23, No. 11, 1677-1697 (2023). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65T50 91G20 PDFBibTeX XMLCite \textit{W. Zhang} and \textit{P. Zeng}, Quant. Finance 23, No. 11, 1677--1697 (2023; Zbl 07778535) Full Text: DOI
Zhang, Gongqiu; Li, Lingfei A general approach for lookback option pricing under Markov models. (English) Zbl 07742087 Quant. Finance 23, No. 9, 1305-1324 (2023). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91G60 65D32 65C40 91G20 PDFBibTeX XMLCite \textit{G. Zhang} and \textit{L. Li}, Quant. Finance 23, No. 9, 1305--1324 (2023; Zbl 07742087) Full Text: DOI arXiv
Battauz, Anna; Rotondi, Francesco American options and stochastic interest rates. (English) Zbl 07634980 Comput. Manag. Sci. 19, No. 4, 567-604 (2022). MSC: 90Bxx PDFBibTeX XMLCite \textit{A. Battauz} and \textit{F. Rotondi}, Comput. Manag. Sci. 19, No. 4, 567--604 (2022; Zbl 07634980) Full Text: DOI
Kirkby, J. Lars; Nguyen, Duy Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. (English) Zbl 1461.91315 Ann. Finance 16, No. 3, 307-351 (2020). MSC: 91G20 60G51 60J28 60G40 PDFBibTeX XMLCite \textit{J. L. Kirkby} and \textit{D. Nguyen}, Ann. Finance 16, No. 3, 307--351 (2020; Zbl 1461.91315) Full Text: DOI
Itkin, Andrey LSV models with stochastic interest rates and correlated jumps. (English) Zbl 1367.91193 Int. J. Comput. Math. 94, No. 7, 1291-1317 (2017). MSC: 91G60 91G30 65L12 35R09 91G20 PDFBibTeX XMLCite \textit{A. Itkin}, Int. J. Comput. Math. 94, No. 7, 1291--1317 (2017; Zbl 1367.91193) Full Text: DOI arXiv
Chiarella, Carl; Griebsch, Susanne; Kang, Boda A comparative study on time-efficient methods to price compound options in the Heston model. (English) Zbl 1386.91161 Comput. Math. Appl. 67, No. 6, 1254-1270 (2014). MSC: 91G60 65M06 91B70 91G20 65Y05 PDFBibTeX XMLCite \textit{C. Chiarella} et al., Comput. Math. Appl. 67, No. 6, 1254--1270 (2014; Zbl 1386.91161) Full Text: DOI