Geometric Asian options: valuation and calibration with stochastic volatility

DOI10.1088/1469-7688/4/3/006zbMath1405.91655OpenAlexW2005514249MaRDI QIDQ4610238

Hoi Ying Wong, Ying Lok Cheung

Publication date: 15 January 2019

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

Full work available at URL: https://doi.org/10.1088/1469-7688/4/3/006

zbMATH Keywords

stochastic volatilityregressiongeometric Brownian motiongeometric Asian options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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