Pricing Asian options with stochastic convenience yield and jumps-Reference-Cited by-同舟云学术

Pricing Asian options with stochastic convenience yield and jumps

Published:2023-01-11 Issue:4 Volume:23 Page:677-692
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Ewald Christian-Oliver¹²,Wu Yuexiang³,Zhang Aihua⁴

Affiliation:

1. Inland Norway University of Applied Sciences - Business School, Lillehammer, 2624, Norway

2. Adam Smith Business School - Economics University of Glasgow, Glasgow, G12 8QQ, UK

3. Kingston Rayliant (Rayliant Global Advisors), East Tower, Raffles City, Dongdamin Road, Hongkou District, Shanghai, 2705, People's Republic of China

4. Guangdong Provincial Key Laboratory of Interdisciplinary Research and Application for Data Science, BNU-HKBU United International College, Zhuhai, People's Republic of China

Funder

Department of Education of Guangdong Province

Start-up Research Fund from UIC

Guangdong Provincial Key Laboratory of Interdisciplinary Research and Application for Data Science

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2022.2160799

Reference32 articles.

1. Static Hedging of Asian Options under Lévy Models

2. Hedging of Asian options under exponential Lévy models: computation and performance

3. Bjerksund, P., Contingent claims evaluation when the convenience yield is stochastic: Analytical results. Working Paper, Norwegian School of Economics and Business Administration, 1991.

4. Arbitrage Theory in Continuous Time

5. Monte Carlo methods for security pricing

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