Geometric Asian option pricing in general affine stochastic volatility models with jumps
From MaRDI portal
Publication:4555113
DOI10.1080/14697688.2016.1256495zbMath1402.91791arXiv1407.2514OpenAlexW2245804097MaRDI QIDQ4555113
Friedrich Hubalek, Martin Keller-Ressel, Carlo Sgarra
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.2514
stochastic volatilityaffine processesaverage price optionsaverage strike optionsGeometric Asian options
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