Arithmetic average Asian options with stochastic elasticity of variance

DOI10.12941/JKSIAM.2016.20.123MaRDI QIDQ2817577zbMATH OpenOpenAlexFDO

Authors Kyu-Hwan Jang, Min-Ku Lee

Publication date 1 September 2016

Published in Journal of the Korean Society for Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.12941/jksiam.2016.20.123

zbMATH Keywords

Asian optionsconstant elasticity of variancestochastic elasticity of variancestochastic volatility

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(5)

• Asymptotic approach to the pricing of geometric Asian options under the CEV model
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
• On Arithmetic-Average Asian Power Options: Closed Forms and Explicit Methods for Valuation
• Efficient Monte Carlo option pricing under CEV model
• Spectral Expansions for Asian (Average Price) Options

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