On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps

DOI10.1016/j.cam.2011.01.049zbMath1211.91235OpenAlexW2018003782MaRDI QIDQ535466

Carlo Sgarra, Friedrich Hubalek

Publication date: 11 May 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2011.01.049

zbMATH Keywords

Lévy processesstochastic volatilityaverage price optionsaverage strike optionsgeometric Asian options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

Analytical valuation for geometric Asian options in illiquid markets ⋮ Geometric Asian option pricing in general affine stochastic volatility models with jumps ⋮ Asian options pricing in Hawkes-type jump-diffusion models ⋮ Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model ⋮ Hedging strategies for discretely monitored Asian options under Lévy processes ⋮ Convergence in multiscale financial models with non-Gaussian stochastic volatility ⋮ GENERALIZED BARNDORFF-NIELSEN AND SHEPHARD MODEL AND DISCRETELY MONITORED OPTION PRICING ⋮ Pricing of the geometric Asian options under a multifactor stochastic volatility model ⋮ Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate

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