Pricing Asian options with stochastic volatility

DOI10.1088/1469-7688/3/5/301zbMath1405.91615OpenAlexW2150066941MaRDI QIDQ4647281

Jean-Pierre Fouque, Chuan-Hsiang Han

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/5/301

zbMATH Keywords

stochastic volatilityAsian options pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cites Work

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• Pricing Asian options in a semimartingale model
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