Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps
Pricing of Securities
2014-07-10 v1
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 close-form solutions for some relevant affine model classes.
Keywords
Cite
@article{arxiv.1407.2514,
title = {Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps},
author = {Friedrich Hubalek and Martin Keller-Ressel and Carlo Sgarra},
journal= {arXiv preprint arXiv:1407.2514},
year = {2014}
}
Comments
20 pages