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  • Search: subject:"Discrete Asian options"
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Asia 1 Asien 1 Discrete Asian options 1 Heston model 1 Monte Carlo simulation 1 Monte-Carlo valuation 1 Monte-Carlo-Simulation 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Volatility 1 Volatilität 1 high volatility 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Desmettre, Sascha 1 Wenzel, Jörg 1
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Applied mathematical finance 1
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On the valuation of discrete Asian options in high volatility environments
Desmettre, Sascha; Wenzel, Jörg - In: Applied mathematical finance 28 (2021) 6, pp. 508-533
In this paper, we are concerned with the Monte Carlo valuation of discretely sampled arithmetic and geometric average options in the Black-Scholes model and the stochastic volatility model of Heston in high volatility environments. To this end, we examine the limits and convergence rates of...
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