Pricing Asian options with stochastic convenience yield and jumps
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Publication:6158429
DOI10.1080/14697688.2022.2160799zbMath1519.91256MaRDI QIDQ6158429
Ai-Hua Zhang, Yuexiang Wu, Christian-Oliver Ewald
Publication date: 20 June 2023
Published in: Quantitative Finance (Search for Journal in Brave)
Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)
Cites Work
- Lower and upper bounds for prices of Asian-type options
- Monte Carlo methods for security pricing
- On increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic options
- General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options
- A General Framework for Pricing Asian Options Under Markov Processes
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing
- On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales
- An equilibrium characterization of the term structure
- Option pricing when underlying stock returns are discontinuous
- Arbitrage Theory in Continuous Time
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