Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
From MaRDI portal
Publication:2786206
DOI10.1080/13504860903335348zbMath1233.91272OpenAlexW2014349623MaRDI QIDQ2786206
Antoine Jacquier, Martin Forde
Publication date: 21 September 2010
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://kclpure.kcl.ac.uk/portal/en/publications/robust-approximations-for-pricing-asian-options-and-volatility-swaps-under-stochastic-volatility(b2fd1085-62ec-4532-94e8-5fe6e4511d22).html
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (15)
Intrinsic expansions for averaged diffusion processes ⋮ A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean ⋮ Pricing CIR yield options by conditional moment matching ⋮ Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching ⋮ Model-Independent Bounds for Asian Options: A Dynamic Programming Approach ⋮ A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL ⋮ Option pricing under time interval driven model ⋮ Rough Heston Models with Variable Vol-of-Vol and Option Pricing ⋮ Pricing of Asian-Type and Basket Options via Bounds ⋮ BOUNDS ON PRICES FOR ASIAN OPTIONS VIA FOURIER METHODS ⋮ Pricing average options under time-changed Lévy processes ⋮ On Carr and Lee’s Correlation Immunization Strategy ⋮ A closed-form pricing formula for European options under the Heston model with stochastic interest rate ⋮ Pricing Asian options in a stochastic volatility model with jumps ⋮ A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching
Cites Work
- Unnamed Item
- Moment explosions in stochastic volatility models
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Stochastic Volatility for Lévy Processes
- The value of an Asian option
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- An affine property of the reciprocal Asian option process
- On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
This page was built for publication: Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility