Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps

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.

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Year of publication:	2014-07
Authors:	Hubalek, Friedrich ; Keller-Ressel, Martin ; Sgarra, Carlo
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010796151