Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Modelling and Simulation,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/00949655.2015.1046072
Reference21 articles.
1. The Pricing of Options and Corporate Liabilities
2. The Pricing of Options on Assets with Stochastic Volatilities
3. Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application
4. Stock Price Distributions with Stochastic Volatility: An Analytic Approach
5. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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