{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,9,17]],"date-time":"2025-09-17T16:54:06Z","timestamp":1758128046323,"version":"3.44.0"},"reference-count":36,"publisher":"Informa UK Limited","issue":"8","funder":[{"name":"the Humanities and Social Sciences of Ministry of Education Planning Fund of China","award":["23YJA630102","2022CSJGG0800"],"award-info":[{"award-number":["23YJA630102","2022CSJGG0800"]}]}],"content-domain":{"domain":["www.tandfonline.com"],"crossmark-restriction":true},"short-container-title":["Communications in Statistics - Simulation and Computation"],"published-print":{"date-parts":[[2025,8,3]]},"DOI":"10.1080\/03610918.2024.2334790","type":"journal-article","created":{"date-parts":[[2024,4,13]],"date-time":"2024-04-13T01:52:23Z","timestamp":1712973143000},"page":"3096-3117","update-policy":"https:\/\/doi.org\/10.1080\/tandf_crossmark_01","source":"Crossref","is-referenced-by-count":0,"title":["Continuous-time Markov chain approximation for pricing Asian options under rough stochastic local volatility models"],"prefix":"10.1080","volume":"54","author":[{"given":"Ziqi","family":"Lei","sequence":"first","affiliation":[{"name":"School of Economics and Management, Beihang University","place":["Beijing, China"]}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-0068-0611","authenticated-orcid":false,"given":"Qing","family":"Zhou","sequence":"additional","affiliation":[{"name":"School of Science, Key Laboratory of Mathematics and Information Networks, Ministry of Education, Beijing University of Posts and Telecommunications","place":["Beijing, China"]}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9763-4744","authenticated-orcid":false,"given":"Weilin","family":"Xiao","sequence":"additional","affiliation":[{"name":"School of Management, Zhejiang University","place":["Hangzhou, China"]}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"301","published-online":{"date-parts":[[2024,4,12]]},"reference":[{"key":"e_1_3_3_2_1","doi-asserted-by":"publisher","DOI":"10.48550\/arXiv.1801.10359"},{"key":"e_1_3_3_3_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2015.1099717"},{"key":"e_1_3_3_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbaa049"},{"key":"e_1_3_3_5_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.2015.1385"},{"key":"e_1_3_3_6_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1177004968"},{"key":"e_1_3_3_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0096-3003(02)00016-4"},{"key":"e_1_3_3_8_1","doi-asserted-by":"publisher","DOI":"10.1137\/16M1106572"},{"key":"e_1_3_3_9_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-030-25498-8-6"},{"key":"e_1_3_3_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(00)00003-8"},{"key":"e_1_3_3_11_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.2003.319203"},{"key":"e_1_3_3_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.camwa.2011.02.013"},{"key":"e_1_3_3_13_1","doi-asserted-by":"publisher","DOI":"10.1214\/18-AAP1408"},{"key":"e_1_3_3_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12173"},{"key":"e_1_3_3_15_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.3116887"},{"key":"e_1_3_3_16_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2020.1790634"},{"key":"e_1_3_3_17_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2017.1393551"},{"key":"e_1_3_3_18_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10436-020-00366-0"},{"key":"e_1_3_3_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2017.05.001"},{"key":"e_1_3_3_20_1","doi-asserted-by":"publisher","DOI":"10.1137\/0328056"},{"key":"e_1_3_3_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12161"},{"key":"e_1_3_3_22_1","doi-asserted-by":"publisher","DOI":"10.48550\/arXiv.1702.02777"},{"key":"e_1_3_3_23_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024914500472"},{"key":"e_1_3_3_24_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2021.1970213"},{"key":"e_1_3_3_25_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.3307220"},{"key":"e_1_3_3_26_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.3943560"},{"key":"e_1_3_3_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2021.104145"},{"key":"e_1_3_3_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.cam.2021.113901"},{"key":"e_1_3_3_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2011.00486.x"},{"key":"e_1_3_3_30_1","doi-asserted-by":"publisher","DOI":"10.1134\/S0081543814080136"},{"key":"e_1_3_3_31_1","unstructured":"Richard A. X. Tan and F. Yang. 2021. On the discrete-time simulation of the rough Heston model. https:\/\/arxiv.org\/abs\/2107.07835v3."},{"key":"e_1_3_3_32_1","unstructured":"Song Y. N. Cai and S. Kou. 2016. A unified framework for options pricing under regime switching models. Working paper. https:\/\/hdl.handle.net\/1783.1\/78256."},{"key":"e_1_3_3_33_1","doi-asserted-by":"publisher","DOI":"10.1287\/ijoc.2017.0805"},{"key":"e_1_3_3_34_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00186-020-00735-5"},{"key":"e_1_3_3_35_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.3817591"},{"key":"e_1_3_3_36_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.2018.1791"},{"key":"e_1_3_3_37_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-023-00505-1"}],"container-title":["Communications in Statistics - Simulation and Computation"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.tandfonline.com\/doi\/pdf\/10.1080\/03610918.2024.2334790","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,9,1]],"date-time":"2025-09-01T12:24:46Z","timestamp":1756729486000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/03610918.2024.2334790"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2024,4,12]]},"references-count":36,"journal-issue":{"issue":"8","published-print":{"date-parts":[[2025,8,3]]}},"alternative-id":["10.1080\/03610918.2024.2334790"],"URL":"https:\/\/doi.org\/10.1080\/03610918.2024.2334790","relation":{},"ISSN":["0361-0918","1532-4141"],"issn-type":[{"type":"print","value":"0361-0918"},{"type":"electronic","value":"1532-4141"}],"subject":[],"published":{"date-parts":[[2024,4,12]]},"assertion":[{"value":"The publishing and review policy for this title is described in its Aims & Scope.","order":1,"name":"peerreview_statement","label":"Peer Review Statement"},{"value":"http:\/\/www.tandfonline.com\/action\/journalInformation?show=aimsScope&journalCode=lssp20","URL":"http:\/\/www.tandfonline.com\/action\/journalInformation?show=aimsScope&journalCode=lssp20","order":2,"name":"aims_and_scope_url","label":"Aim & Scope"},{"value":"2023-06-06","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-02-28","order":1,"name":"revised","label":"Revised","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-03-20","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-04-12","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}