On the Valuation of Discrete Asian Options in High Volatility Environments

DOI10.1080/1350486X.2022.2108858zbMath1501.91180MaRDI QIDQ5041837

Sascha Desmettre, Jörg Wenzel

Publication date: 18 October 2022

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

Heston modeldiscrete Asian optionshigh volatilityMonte Carlo valuation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical integration (65D30)

Cites Work

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