Commodity Asian option pricing and simulation in a 4-factor model with jump clusters

DOI10.1007/S10479-022-05152-XMaRDI QIDQ6549599zbMATH OpenFDO

Authors Riccardo Brignone, Luca Gonzato, Carlo Sgarra

Publication date 4 June 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

simulationAsian optionsself-exciting jumpscommodity derivativesmultifactor affine stochastic volatility models

Mathematics Subject Classification ID

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

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Cited in

(1)

• Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models

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