Before revision: We study the price of Asian options with floating-strike when the underlying asset price follows a Markov-modulated (or regime-switching ) geometric Brownian motion and both the interest rate and diffusion coefficient depend on an independent continuous-time finite-state Markov chain.
After revision: We characterize the price of Asian options with floating-strike when the underlying asset price follows a Markov-modulated (or regime-switching ) geometric Brownian motion and both the interest rate and diffusion coefficient depend on an independent continuous-time finite-state Markov chain.