Pricing Asian options in a stochastic volatility model with jumps

DOI10.1016/J.AMC.2013.12.004zbMath1364.91150OpenAlexW2004829202MaRDI QIDQ529935

Qiu-Hong Shi, Xiao-Ping Yang

Publication date: 9 June 2017

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

Full work available at URL: https://doi.org/10.1016/j.amc.2013.12.004

zbMATH Keywords

Lévy processesstochastic volatilitypartial integro-differential equationarithmetic Asian optionBarndorff-Nielsen and Shephard model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Option pricing for stochastic volatility model with infinite activity Lévy jumps ⋮ Geometric Asian option pricing in general affine stochastic volatility models with jumps ⋮ Critical value-based Asian option pricing model for uncertain financial markets ⋮ Option pricing and hedging for optimized Lévy driven stochastic volatility models ⋮ A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options ⋮ Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model ⋮ Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate ⋮ Efficient Monte Carlo option pricing under CEV model

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