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

DOI10.1007/S10479-024-05904-XMaRDI QIDQ6573361zbMATH OpenFDO

Authors Belén León-Pérez, Manuel Moreno

Publication date 16 July 2024

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

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

sensitivity analysisoption pricingFourier seriesMonte Carlo simulationsmean-reversionaverage options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A general framework for pricing Asian options under Markov processes
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Approximate valuation of average options
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Bounds for in-progress floating-strike Asian options using symmetry
• Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
• Geometric Asian option pricing in general affine stochastic volatility models with jumps
• Geometric Asian options: valuation and calibration with stochastic volatility
• Governed by the cycle: interest rate sensitivity of emerging market corporate debt
• Interest rate models -- theory and practice
• Monte Carlo methods for security pricing
• On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
• Pricing Asian options in a stochastic volatility model with jumps
• Pricing Asian options with stochastic convenience yield and jumps
• Pricing interest-rate-derivative securities
• Pricing of geometric Asian options under Heston's stochastic volatility model
• Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
• Spectral Expansions for Asian (Average Price) Options
• The Valuation of Path Dependent Contracts on the Average
• The value of an Asian option
• Variable purchase options

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