Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
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- scientific article; zbMATH DE number 2133111
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An affine property of the reciprocal Asian option process
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- scientific article; zbMATH DE number 48952 (Why is no real title available?)
- Moment explosions in stochastic volatility models
- On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
- Stochastic Volatility for Lévy Processes
- The value of an Asian option
Cited in
(16)- Pricing CIR yield options by conditional moment matching
- A closed-form pricing formula for European options under the Heston model with stochastic interest rate
- A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching
- Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching
- Intrinsic expansions for averaged diffusion processes
- Pricing average options under time-changed Lévy processes
- Pricing of Asian-type and basket options via bounds
- Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
- A semi-analytical pricing formula for European options under the rough Heston-CIR model
- Pricing Asian options in a stochastic volatility model with jumps
- Bounds on prices for Asian options via Fourier methods
- On Carr and Lee's correlation immunization strategy
- Option pricing under time interval driven model
- Rough Heston Models with Variable Vol-of-Vol and Option Pricing
- On the Implied Volatility of Asian Options Under Stochastic Volatility Models
- A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
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