Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
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Cites work
- A cluster process representation of a self-exciting process
- A four-factor stochastic volatility model of commodity prices
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
- A novel pricing method for European options based on Fourier-cosine series expansions
- A theory of the term structure of interest rates
- Affine point processes and portfolio credit risk
- Asian options pricing in Hawkes-type jump-diffusion models
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- Closed-form expansions of discretely monitored Asian options in diffusion models
- Efficient Monte Carlo simulation of security prices
- Exact simulation of Hawkes process with exponentially decaying intensity
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- Exact simulation of the SABR model
- Exponential martingales and changes of measure for counting processes
- Gamma expansion of the Heston stochastic volatility model
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Geometric Asian option pricing in general affine stochastic volatility models with jumps
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- Lévy Processes and Stochastic Calculus
- Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
- Optimal investment in markets with over and under-reaction to information
- Option pricing with mean reversion and stochastic volatility
- Pricing of derivatives on mean-reverting assets
- Simulating from the Heston model: a gamma approximation scheme
- Stability of nonlinear Hawkes processes
- Stability results for a general class of interacting point processes dynamics, and applications
- Stochastic equations, flows and measure-valued processes
- The dynamics of commodity prices
- The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
- The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets
- Valuation of commodity derivatives in a new multi-factor model
Cited in
(4)- Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models
- Nested-conditional factorization approach to Asian options pricing
- Commodity options pricing under Wishart stochastic volatility model equipped with jump process: model calibration by an optimized neural network
- Valuation of commodity option prices under a regime-switching model with stochastic convenience yield: model calibration using flower pollination optimization algorithm
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