Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps

DOI10.1080/00949655.2015.1046072OpenAlexW2159341616MaRDI QIDQ5220943

Naghmeh Saber, Farshid Mehrdoust

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2015.1046072

zbMATH Keywords

jumpsMonte Carlo simulationvariance reductionAsian optionstochastic volatility model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Related Items (7)

Pricing of financial derivatives based on the Tsallis statistical theory ⋮ European option pricing under multifactor uncertain volatility model ⋮ Pricing multi-asset American option under Heston-CIR diffusion model with jumps ⋮ Implied higher order moments in the Heston model: a case study of S\&P500 index ⋮ American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis ⋮ Modeling asset price under two-factor Heston model with jumps ⋮ Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate

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