"Pricing Average Options under Stochastic Volatility Models" (in Japanese)

This paper derives an approximation formula for average options under two stochastic volatility models such as Heston and ƒÉ(Lambda)-SABR models by using an asymptotic expansion method. Moreover, numerical examples with various parameters some of which are obtained by calibration to WTI futures options prices in NYMEX confirm the effectiveness of our formula.

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Year of publication:	2009-01
Authors:	Shiraya, Kenichiro ; Takahashi, Akihiko ; Toda, Masashi
Institutions:	Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics

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Series:	CIRJE J-Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number CIRJE-J-208 37 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004991482