Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps

DOI10.1080/00949655.2015.1046072MaRDI QIDQ5220943zbMATH OpenOpenAlexFDO

Authors Farshid Mehrdoust, Naghmeh Saber

Publication date 27 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2015.1046072

zbMATH Keywords

Asian optionjumpsMonte Carlo simulationstochastic volatility modelvariance reduction

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A memory reduction method in pricing American options
• A new hybrid Monte Carlo simulation for Asian options pricing
• A reliable numerical method to price arithmetic Asian options
• Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options
• FFT based option pricing under a mean reverting process with stochastic volatility and jumps
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• Pricing and hedging long-term options
• Pricing barrier options by a regime switching model
• Pricing of geometric Asian options under Heston's stochastic volatility model
• Stock price distributions with stochastic volatility: an analytic approach
• The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
• The pricing of options and corporate liabilities
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(15)

• Pricing arithmetic Asian options under hybrid stochastic and local volatility
• Modeling asset price under two-factor Heston model with jumps
• A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
• Pricing of financial derivatives based on the Tsallis statistical theory
• European option pricing under multifactor uncertain volatility model
• Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate
• Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model
• Monte Carlo simulation pricing for algorithm average Asian option under the stochastic volatility model
• scientific article; zbMATH DE number 7234807 (Why is no real title available?)
• An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting
• Pricing multi-asset American option under Heston-CIR diffusion model with jumps
• American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis
• Pricing Asian options in a stochastic volatility model with jumps
• Implied higher order moments in the Heston model: a case study of S\&P500 index
• An efficient hybrid algorithm based on Monte Carlo method for pricing catastrophic reinsurance contract under a Markov-switching stochastic turbulence model

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