Geometric Asian option pricing in general affine stochastic volatility models with jumps
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Abstract: In this paper we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which several different valuation problems based on some average process can be cast, and we shall obtain close-form solutions for some relevant affine model classes.
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Cited in
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- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
- Analytical valuation for geometric Asian options in illiquid markets
- Asian options pricing in Hawkes-type jump-diffusion models
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- Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
- Pricing of geometric Asian power barrier options
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- Valuing vulnerable Asian options under contagion dynamics
- Full calibration, fast simulation, and exotic options pricing under the Ornstein-Uhlenbeck driven stochastic volatility model
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