scholarly journals Pricing of the geometric Asian options under a multifactor stochastic volatility model

2021 ◽  
pp. 113986
Author(s):  
Gifty Malhotra ◽  
R. Srivastava ◽  
H.C. Taneja
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Asian Options ◽  
Volatility Model

scholarly journals Pricing Arithmetic Asian Options under Hybrid Stochastic and Local Volatility

2014 ◽  
Vol 2014 ◽  
pp. 1-8
Author(s):  
Min-Ku Lee ◽  
Jeong-Hoon Kim ◽  
Kyu-Hwan Jang
Keyword(s):  
Stochastic Volatility ◽  
Option Price ◽  
Stochastic Volatility Model ◽  
Asian Options ◽  
Partial Differential ◽  
Constant Elasticity ◽  
Local Volatility ◽  
Constant Elasticity Of Variance ◽  
Arithmetic Average ◽  
Volatility Model

Recently, hybrid stochastic and local volatility models have become an industry standard for the pricing of derivatives and other problems in finance. In this study, we use a multiscale stochastic volatility model incorporated by the constant elasticity of variance to understand the price structure of continuous arithmetic average Asian options. The multiscale partial differential equation for the option price is approximated by a couple of single scale partial differential equations. In terms of the elasticity parameter governing the leverage effect, a correction to the stochastic volatility model is made for more efficient pricing and hedging of Asian options.

scholarly journals Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate

Complexity ◽  
2019 ◽  
Vol 2019 ◽  
pp. 1-13 ◽  
Author(s):  
Yanhong Zhong ◽  
Guohe Deng
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Stochastic Volatility ◽  
Geometric Mean ◽  
Stochastic Volatility Model ◽  
Stochastic Interest Rate ◽  
Asian Options ◽  
Proposed Model ◽  
Volatility Model ◽  
Stochastic Interest

This paper presents an extension of double Heston stochastic volatility model by incorporating stochastic interest rates and derives explicit solutions for the prices of the continuously monitored fixed and floating strike geometric Asian options. The discounted joint characteristic function of the log-asset price and its log-geometric mean value is computed by using the change of numeraire and the Fourier inversion transform technique. We also provide efficient approximated approach and analyze several effects on option prices under the proposed model. Numerical examples show that both stochastic volatility and stochastic interest rate have a significant impact on option values, particularly on the values of longer term options. The proposed model is suitable for modeling the longer time real-market changes and managing the credit risks.

A non-Gaussian stochastic volatility model

1998 ◽  
Vol 2 (2) ◽  
pp. 33-47 ◽  
Author(s):  
Yuichi Nagahara ◽  
Genshiro Kitagawa
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Volatility Model ◽  
Non Gaussian
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