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

DOI10.1007/S10479-024-05904-XzbMATH Open1542.91397MaRDI QIDQ6573361FDOQ6573361

Authors: Belén León-Pérez, Manuel Moreno 

Publication date: 16 July 2024

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

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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)

Cites Work

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

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