An analytical approximation for pricing VWAP options

DOI10.1080/14697688.2016.1260758zbMath1402.91779OpenAlexW3121574157MaRDI QIDQ4555128

Hideharu Funahashi, Masaaki Kijima

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1260758

zbMATH Keywords

mean-reverting processlocal volatility modelaverage optionVWAP option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Lower and upper bounds for prices of Asian-type options
• Does the Hurst index matter for option prices under fractional volatility?
• Long memory in continuous-time stochastic volatility models
• EFFECTIVE AND SIMPLE VWAP OPTIONS PRICING MODEL
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• A MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTION
• Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results
• An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options
• A chaos expansion approach under hybrid volatility models
• AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES

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