Shiraya, Kenichiro; Takahashi, Akihiko; Toda, Masashi - Center for International Research on the Japanese … - 2009
This paper derives an approximation formula for average options under two stochastic volatility models such as Heston and ă(Lambda)-SABR models by using an asymptotic expansion method. Moreover, numerical examples with various parameters some of which are obtained by calibration to WTI...