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Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models Online Appendix

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  • Kenichiro Shiraya

    (Graduate School of Economics, the University of Tokyo)

  • Akihiko Takahashi

    (Graduate School of Economics, the University of Tokyo)

Abstract

This online appendix provides results omitted in the paper with the same title. Appendix A explains all the definitions and equations necessary for practical computations of an option pricing formula in Theorem 4.3: Section A.1 gives a summary with Corollary A.1, which shows our pricing formula with complete expressions of constants Ci,k (i = 1, 2, 3), Cj (j = 4, 5, 6) appearing in the theorem. Section A.2. provides the details of the derivation. Appendix B lists up the conditional expectation formulas used in the derivation of the theorem.

Suggested Citation

  • Kenichiro Shiraya & Akihiko Takahashi, 2017. "Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models Online Appendix," CARF F-Series CARF-F-412, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    • Handle: RePEc:cfi:fseres:cf412
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    File URL: https://www.carf.e.u-tokyo.ac.jp/old/pdf/workingpaper/fseries/F412.pdf
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    Cited by:

    1. Kenichiro Shiraya & Akihiko Takahashi, 2019. "Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models," Mathematics of Operations Research, INFORMS, vol. 44(1), pages 303-333, February.
    2. Kenichiro Shiraya & Akihiko Takahashi, 2017. "Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models (Revised version of CARF-F-365 : Subsequently published in Mathematics of Operations Research)," CARF F-Series CARF-F-426, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

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