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arXiv · 1601.05306

On "A General Framework for Pricing Asian Options Under Markov Processes"

Zhenyu Cui·Chihoon Lee·Yanchu Liu
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Abstract

Cai, Song and Kou (2015) [Cai, N., Y. Song, S. Kou (2015) A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3): 540-554] made a breakthrough by proposing a general framework for pricing both discretely and continuously monitored Asian options under one-dimensional Markov processes. In this note, under the setting of continuous-time Markov chain (CTMC), we explicitly carry out the inverse Z-transform and the inverse Laplace transform respectively for the discretely and the continuously monitored cases. The resulting explicit single Laplace transforms improve their Theorem 2, p.543, and numerical studies demonstrate the gain in efficiency.

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Zhenyu Cui, Chihoon Lee, Yanchu Liu. 2016-01-20. On "A General Framework for Pricing Asian Options Under Markov Processes". https://arxiv.org/abs/1601.05306

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