Pricing Asian options with stochastic convenience yield and jumps

DOI10.1080/14697688.2022.2160799MaRDI QIDQ6158429zbMATH OpenFDO

Authors Christian-Oliver Ewald, Yuexiang Wu, Aihua Zhang

Publication date 20 June 2023

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

jump diffusionderivativesstochastic convenience yieldAsian options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

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Cites work

• A general framework for pricing Asian options under Markov processes
• An equilibrium characterization of the term structure
• Arbitrage Theory in Continuous Time
• General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
• Jumps and stochastic volatility in crude oil prices and advances in average option pricing
• Lower and upper bounds for prices of Asian-type options
• Monte Carlo methods for security pricing
• 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
• Option pricing when underlying stock returns are discontinuous

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
• Asian options with zero cost-of-carry: EEX options on freight and iron ore futures
• Accurate pricing formulas for Asian options with jumps
• scientific article; zbMATH DE number 6129889 (Why is no real title available?)
• An efficient algorithm to solve the geometric Asian power option price PDE under the stochastic volatility model
• scientific article; zbMATH DE number 6531299 (Why is no real title available?)
• Commodity Asian option pricing and simulation in a 4-factor model with jump clusters

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