In this paper, we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which several different valuation problems based on some average process can be cast, and we shall obtain closed form solutions for some relevant affine model classes.
Geometric Asian option pricing in general affine stochastic volatility models with jumps
SGARRA, CARLO
2017-01-01
Abstract
In this paper, we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which several different valuation problems based on some average process can be cast, and we shall obtain closed form solutions for some relevant affine model classes.File in questo prodotto:
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Geometric Asian option pricing in general affine stochastic volatility models with jumps.pdf
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