Pricing Asian options with stochastic convenience yield and jumps
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Publication:6158429
DOI10.1080/14697688.2022.2160799zbMATH Open1519.91256MaRDI QIDQ6158429FDOQ6158429
Authors: Christian-Oliver Ewald, Yuexiang Wu, Aihua Zhang 
Publication date: 20 June 2023
Published in: Quantitative Finance (Search for Journal in Brave)
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Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)
Cites Work
- An equilibrium characterization of the term structure
- Arbitrage Theory in Continuous Time
- Option pricing when underlying stock returns are discontinuous
- Monte Carlo methods for security pricing
- Lower and upper bounds for prices of Asian-type options
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- A general framework for pricing Asian options under Markov processes
- On increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic options
- On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing
Cited In (9)
- Pricing and hedging Asian-style options on energy
- Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing
- Accurate pricing formulas for Asian options with jumps
- Asian options with zero cost-of-carry: EEX options on freight and iron ore futures
- Title not available (Why is that?)
- An efficient algorithm to solve the geometric Asian power option price PDE under the stochastic volatility model
- Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
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