Pricing Asian options in a stochastic volatility model with jumps (Q529935)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6728496
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing Asian options in a stochastic volatility model with jumps |
scientific article; zbMATH DE number 6728496 |
Statements
Pricing Asian options in a stochastic volatility model with jumps (English)
0 references
9 June 2017
0 references
arithmetic Asian option
0 references
stochastic volatility
0 references
Lévy processes
0 references
Barndorff-Nielsen and Shephard model
0 references
partial integro-differential equation
0 references
0 references
0 references
0 references
0 references
0 references
0.8618966341018677
0 references
0.8592219948768616
0 references
0.8585886359214783
0 references
