ARITHMETIC AVERAGE ASIAN OPTIONS WITH STOCHASTIC ELASTICITY OF VARIANCE

DOI10.12941/JKSIAM.2016.20.123zbMath1347.91230OpenAlexW2503856107MaRDI QIDQ2817577

Kyu-Hwan Jang, Min-Ku Lee

Publication date: 1 September 2016

Published in: Journal of the Korea Society for Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.12941/jksiam.2016.20.123

zbMATH Keywords

stochastic volatilityAsian optionsconstant elasticity of variancestochastic elasticity of variance

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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