Pricing of the geometric Asian options under a multifactor stochastic volatility model

DOI10.1016/j.cam.2021.113986zbMath1490.91219arXiv1912.10640OpenAlexW2996081223MaRDI QIDQ2074887

Yanyan Li

Publication date: 11 February 2022

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

Full work available at URL: https://arxiv.org/abs/1912.10640

zbMATH Keywords

option pricinggeometric Asian optionsmodified Black-Scholes pricemultifactor stochastic volatilityslow volatility factor

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Cites Work

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