Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models
Author:
Affiliation:
1. Graduate School of Economics, University of Tokyo, Bunkyou-ku, Tokyo, 113-0033, Japan
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Computer Science Applications,General Mathematics
Reference41 articles.
1. On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation
2. Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
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