Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility

DOI10.1080/13504860903335348zbMath1233.91272OpenAlexW2014349623MaRDI QIDQ2786206

Antoine Jacquier, Martin Forde

Publication date: 21 September 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://kclpure.kcl.ac.uk/portal/en/publications/robust-approximations-for-pricing-asian-options-and-volatility-swaps-under-stochastic-volatility(b2fd1085-62ec-4532-94e8-5fe6e4511d22).html

zbMATH Keywords

stochastic volatilitycalibrationAsian optionsvolatility swapsHeston

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Unnamed Item
• Moment explosions in stochastic volatility models
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Stochastic Volatility for Lévy Processes
• The value of an Asian option
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• An affine property of the reciprocal Asian option process
• On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options

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