PricingAsian options in a semimartingale model

J Vecer, M Xu - Quantitative finance, 2003 - iopscience.iop.org
In this paper we study arithmetic Asian options when the underlying stock is driven by
special semimartingale processes. We show that the inherently path dependent problem of …

Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models

JP Fouque 3, CH Han - Quantitative Finance, 2004 - Taylor & Francis
We present variance reduction methods for Monte Carlo simulations to evaluate European
and Asian options in the context of multiscale stochastic volatility models. European option …

Pricing of geometric Asian options under Heston's stochastic volatility model

B Kim, IS Wee - Quantitative Finance, 2014 - Taylor & Francis
In this work, it is assumed that the underlying asset price follows Heston's stochastic volatility
model and explicit solutions for the prices of geometric Asian options with fixed and floating …

Jumps and stochastic volatility in crude oil prices and advances in average option pricing

I Kyriakou, PK Pouliasis, NC Papapostolou - Quantitative Finance, 2016 - Taylor & Francis
Crude oil derivatives form an important part of the global derivatives market. In this paper,
we focus on Asian options which are favoured by risk managers being effective and cost …

Closed-form expansions of discretely monitored Asian options in diffusion models

N Cai, C Li, C Shi - Mathematics of Operations Research, 2014 - pubsonline.informs.org
In this paper we propose a closed-form asymptotic expansion approach to pricing discretely
monitored Asian options in general one-dimensional diffusion models. Our expansion is a …

Geometric Asian option pricing in general affine stochastic volatility models with jumps

F Hubalek, M Keller-Ressel, C Sgarra - Quantitative Finance, 2017 - Taylor & Francis
In this paper, we present some results on Geometric Asian option valuation for affine
stochastic volatility models with jumps. We shall provide a general framework into which …

[HTML][HTML] Approximations for Asian options in local volatility models

P Foschi, S Pagliarani, A Pascucci - Journal of Computational and Applied …, 2013 - Elsevier
We develop approximate formulae expressed in terms of elementary functions for the
density, the price and the Greeks of path dependent options of Asian style, in a general local …

Convergence by viscosity methods in multiscale financial models with stochastic volatility

M Bardi, A Cesaroni, L Manca - SIAM Journal on Financial Mathematics, 2010 - SIAM
We study singular perturbations of a class of stochastic control problems under assumptions
motivated by models of financial markets with stochastic volatilities evolving on a fast time …

Geometric Asian options: valuation and calibration with stochastic volatility

HY Wong, YL Cheung - Quantitative Finance, 2004 - iopscience.iop.org
This paper studies continuously sampled geometric Asian options (GAO) in a stochastic
volatility economy. The underlying asset price is assumed to follow a geometric Brownian …

Pricing average options on commodities

K Shiraya, A Takahashi - Journal of Futures Markets, 2011 - Wiley Online Library
This study proposes a new approximation formula for pricing average options on
commodities under a stochastic volatility environment. In particular, it derives an option …