Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models

DOI10.1287/moor.2017.0925zbMath1435.91191OpenAlexW3123638972WikidataQ129212959 ScholiaQ129212959MaRDI QIDQ5219719

Kenichiro Shiraya, Akihiko Takahashi

Publication date: 12 March 2020

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2015/2015cf980.pdf

zbMATH Keywords

asymptotic expansionsapproximation formulastochastic volatility modelsjump-diffusion modelsspread optionslocal volatility modelsaverage options

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ Forecasting mortality rates with a coherent ensemble averaging approach ⋮ General multilevel Monte Carlo methods for pricing discretely monitored Asian options

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