Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps (Q5220943)
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scientific article; zbMATH DE number 7183259
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| English | Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps |
scientific article; zbMATH DE number 7183259 |
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Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps (English)
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27 March 2020
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Asian option
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stochastic volatility model
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Monte Carlo simulation
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variance reduction
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jumps
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0.8585886359214783
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0.8537208437919617
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