PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS

DOI10.1142/S0219024911006371zbMath1214.91114OpenAlexW2006165498MaRDI QIDQ3005964

Mercuri Lorenzo

Publication date: 10 June 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006371

zbMATH Keywords

Fourier transformEdgeworth seriesAsian optionsaffine GARCH modelssemi-analytical valuation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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A general framework for pricing Asian options under stochastic volatility on parallel architectures ⋮ General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options

Cites Work

• Option valuation with conditional skewness
• On Asian option pricing for NIG Lévy processes
• Corridor options and arc-sine law.
• Stochastic Volatility for Lévy Processes
• The value of an Asian option
• The conditions under which Gram-Charlier and Edgeworth curves are positive definite and unimodal