Arithmetic Asian Options under Stochastic Delay Models
Motivated by the increasing interest in past-dependent asset pricing models, shown in recent years by market practitioners and prominent authors such as Hobson and Rogers (1998, Complete models with stochastic volatility, Mathematical Finance, 8(1), pp. 27--48), we explore option pricing techniques for arithmetic Asian options under a stochastic delay differential equation approach. We obtain explicit closed-form expressions for a number of lower and upper bounds and compare their accuracy numerically.
Year of publication: |
2011
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Authors: | McWilliams, Nairn ; Sabanis, Sotirios |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 18.2011, 5, p. 423-446
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Publisher: |
Taylor & Francis Journals |
Saved in:
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