Pricing arithmetic Asian options under hybrid stochastic and local volatility

DOI10.1155/2014/784386zbMath1406.91446DBLPjournals/jam/LeeKJ14OpenAlexW2057814308WikidataQ59052343 ScholiaQ59052343MaRDI QIDQ1714760

Min-Ku Lee, Kyu-Hwan Jang, Jeong-Hoon Kim

Publication date: 1 February 2019

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/784386

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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Pricing of vulnerable options under hybrid stochastic and local volatility ⋮ Asymptotic approach to the pricing of geometric Asian options under the CEV model ⋮ Turbo warrants under hybrid stochastic and local volatility

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