Pricing of geometric Asian options under Heston's stochastic volatility model
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Bara | - |
dc.contributor.author | Wee, In-Suk | - |
dc.date.accessioned | 2021-09-05T17:14:50Z | - |
dc.date.available | 2021-09-05T17:14:50Z | - |
dc.date.created | 2021-06-15 | - |
dc.date.issued | 2014 | - |
dc.identifier.issn | 1469-7688 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/101143 | - |
dc.description.abstract | 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 strikes are derived. This approach has to deal with the derivation of the generalized joint Fourier transform of a square-root process and of three different weighted integrals of the square-root process with constant, linear and quadratic weights. Numerical implementation results for the complicated expressions are presented, together with the computational stability and efficiency of the method. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD | - |
dc.subject | SIMULATION | - |
dc.title | Pricing of geometric Asian options under Heston's stochastic volatility model | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Bara | - |
dc.contributor.affiliatedAuthor | Wee, In-Suk | - |
dc.identifier.doi | 10.1080/14697688.2011.596844 | - |
dc.identifier.scopusid | 2-s2.0-84961290379 | - |
dc.identifier.wosid | 000342136500009 | - |
dc.identifier.bibliographicCitation | QUANTITATIVE FINANCE, v.14, no.10, pp.1795 - 1809 | - |
dc.relation.isPartOf | QUANTITATIVE FINANCE | - |
dc.citation.title | QUANTITATIVE FINANCE | - |
dc.citation.volume | 14 | - |
dc.citation.number | 10 | - |
dc.citation.startPage | 1795 | - |
dc.citation.endPage | 1809 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalResearchArea | Mathematical Methods In Social Sciences | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Interdisciplinary Applications | - |
dc.relation.journalWebOfScienceCategory | Social Sciences, Mathematical Methods | - |
dc.subject.keywordPlus | SIMULATION | - |
dc.subject.keywordAuthor | Stochastic volatility | - |
dc.subject.keywordAuthor | Asian options | - |
dc.subject.keywordAuthor | Options pricing | - |
dc.subject.keywordAuthor | Quantitative finance techniques | - |
dc.subject.keywordAuthor | Methodology of pricing derivatives | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.