Pricing Asian options in a stochastic volatility model with jumps

DOI10.1016/J.AMC.2013.12.004zbMATH Open1364.91150OpenAlexW2004829202MaRDI QIDQ529935FDOQ529935

Qiu-Hong Shi, Xiao-Ping Yang

Publication date: 9 June 2017

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2013.12.004

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]stochastic volatilitypartial integro-differential equationarithmetic Asian optionBarndorff-Nielsen and Shephard model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Pricing Asian options in a semimartingale model
• On the Construction and Comparison of Difference Schemes
• Itô formula for stochastic integrals w.r.t. compensated Poisson random measures on separable Banach spaces
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
• Pricing Asian options with stochastic volatility
• Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
• Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
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Cited In (23)

• Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
• Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
• A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
• Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models
• Option pricing for stochastic volatility model with infinite activity Lévy jumps
• Pricing Asian options in a semimartingale model
• Option pricing and hedging for optimized Lévy driven stochastic volatility models
• Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
• Title not available (Why is that?)
• Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate
• Title not available (Why is that?)
• Short Maturity Asian Options in Local Volatility Models
• Geometric Asian option pricing in general affine stochastic volatility models with jumps
• Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
• Pricing Asian options with stochastic convenience yield and jumps
• Critical value-based Asian option pricing model for uncertain financial markets
• SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL
• Efficient Monte Carlo option pricing under CEV model
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• Pricing arithmetic Asian options under hybrid stochastic and local volatility

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