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.
2017
Affine processes; Average Price options; Average Strike options; Geometric Asian options; Stochastic volatility; Finance; Economics, Econometrics and Finance (all)2001 Economics, Econometrics and Finance (miscellaneous)
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11311/1008098
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