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Pricing Asian options with stochastic volatility

Citations

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Cited by:

  1. Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda, 2010. "Pricing Barrier and Average Options under Stochastic Volatility Environment," CIRJE F-Series CIRJE-F-745, CIRJE, Faculty of Economics, University of Tokyo.
  2. Ioannis Kyriakou & Panos K. Pouliasis & Nikos C. Papapostolou, 2016. "Jumps and stochastic volatility in crude oil prices and advances in average option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1859-1873, December.
  3. Susana Alvarez Diez & Samuel Baixauli & Luis Eduardo Girón, 2019. "Valoración de Opciones Call Asiáticas Promedio Aritmético bajo Movimiento Browniano Logístico," Working Papers 46, Faculty of Economics and Management, Pontificia Universidad Javeriana Cali.
  4. Susana Alvarez Diez & Samuel Baixauli & Luis Eduardo Girón, 2019. "Valoración de opciones call asiáticas Promedio Aritmético usando Taylor Estocástico 1.5," Working Papers 44, Faculty of Economics and Management, Pontificia Universidad Javeriana Cali.
  5. Kenichiro Shiraya & Akihiko Takahashi, 2009. "Pricing Average Options on Commodities," CARF F-Series CARF-F-177, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Feb 2012.
  6. Serguei Pergamenchtchikov & Alena Shishkova, 2020. "Hedging problems for Asian options with transactions costs," Papers 2001.01443, arXiv.org.
  7. Ning Cai & Chenxu Li & Chao Shi, 2014. "Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models," Mathematics of Operations Research, INFORMS, vol. 39(3), pages 789-822, August.
  8. Jeonggyu Huh & Jaegi Jeon & Yong-Ki Ma, 2020. "Static Hedges of Barrier Options Under Fast Mean-Reverting Stochastic Volatility," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 185-210, January.
  9. Hoi Ying Wong & Ying Lok Cheung, 2004. "Geometric Asian options: valuation and calibration with stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 301-314.
  10. Junkee Jeon & Jeonggyu Huh & Kyunghyun Park, 2020. "An Analytic Approximation for Valuation of the American Option Under the Heston Model in Two Regimes," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 499-528, August.
  11. Jan Vecer, 2013. "Asian options on the harmonic average," Quantitative Finance, Taylor & Francis Journals, vol. 14(8), pages 1315-1322, September.
  12. Bara Kim & In-Suk Wee, 2014. "Pricing of geometric Asian options under Heston's stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 14(10), pages 1795-1809, October.
  13. Friedrich Hubalek & Martin Keller-Ressel & Carlo Sgarra, 2014. "Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps," Papers 1407.2514, arXiv.org.
  14. Akira Yamazaki, 2014. "Pricing average options under time-changed Lévy processes," Review of Derivatives Research, Springer, vol. 17(1), pages 79-111, April.
  15. Chih-Chen Hsu & Chung-Gee Lin & Tsung-Jung Kuo, 2020. "Pricing of Arithmetic Asian Options under Stochastic Volatility Dynamics: Overcoming the Risks of High-Frequency Trading," Mathematics, MDPI, vol. 8(12), pages 1-16, December.
  16. Kyo Yamamoto & Akihiko Takahashi, 2009. "A Remark on a Singular Perturbation Method for Option Pricing Under a Stochastic Volatility Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(4), pages 333-345, December.
  17. Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang, 2018. "Most-Likely-Path In Asian Option Pricing Under Local Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-32, August.
  18. Hideharu Funahashi & Masaaki Kijima, 2013. "An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options　," KIER Working Papers 857, Kyoto University, Institute of Economic Research.
  19. Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda, 2009. "Pricing Barrier and Average Options under Stochastic Volatility Environment," CARF F-Series CARF-F-176, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised May 2010.
  20. Hoi Ying Wong & Chun Man Chan, 2008. "Turbo warrants under stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 739-751.
  21. Hideharu Funahashi & Masaaki Kijima, 2017. "A unified approach for the pricing of options relating to averages," Review of Derivatives Research, Springer, vol. 20(3), pages 203-229, October.
  22. Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang, 2017. "Most-likely-path in Asian option pricing under local volatility models," Papers 1706.02408, arXiv.org, revised Aug 2018.
  23. Kim, Jeong-Hoon & Park, Chang-Rae, 2017. "A multiscale extension of the Margrabe formula under stochastic volatility," Chaos, Solitons & Fractals, Elsevier, vol. 97(C), pages 59-65.
  24. Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda, 2009. "Pricing Barrier and Average Options under Stochastic Volatility Environment," CIRJE F-Series CIRJE-F-682, CIRJE, Faculty of Economics, University of Tokyo.
  25. Kyungsub Lee, 2013. "Recursive formula for arithmetic Asian option prices," Papers 1311.4969, arXiv.org.
  26. Gifty Malhotra & R. Srivastava & H. C. Taneja, 2019. "Pricing of the Geometric Asian Options Under a Multifactor Stochastic Volatility Model," Papers 1912.10640, arXiv.org.
  27. Tao Pang & Katherine Varga, 2019. "Portfolio Optimization for Assets with Stochastic Yields and Stochastic Volatility," Journal of Optimization Theory and Applications, Springer, vol. 182(2), pages 691-729, August.
  28. Ballestra, Luca Vincenzo & Pacelli, Graziella & Zirilli, Francesco, 2007. "A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3420-3437, November.
  29. Kenichiro Shiraya & Akihiko Takahashi, 2010. "Pricing Average Options on Commodities," CIRJE F-Series CIRJE-F-747, CIRJE, Faculty of Economics, University of Tokyo.
  30. Jan Vecer & Mingxin Xu, 2004. "Pricing Asian options in a semimartingale model," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 170-175.
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