Pricing Average Options under Stochastic Volatility Models

This paper derives an approximation formula for average options under two stochastic volatility models such as Heston and 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 Advanced Research in Finance, Faculty of Economics

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Extent:	application/pdf
Series:	CARF J-Series.
Type of publication:	Book / Working Paper
Notes:	Number CARF-J-059 37 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008519737