Pricing of geometric Asian options under Heston's stochastic volatility model

DOI10.1080/14697688.2011.596844zbMath1402.91792OpenAlexW1997637918MaRDI QIDQ5247235

In-Suk Wee, Bara Kim

Publication date: 23 April 2015

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

Full work available at URL: https://doi.org/10.1080/14697688.2011.596844

zbMATH Keywords

stochastic volatilityAsian optionsoptions pricingquantitative finance techniquesmethodology of pricing derivatives

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Convergence of Fourier series and of inverse transforms (43A50)

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Cites Work

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