Pricing of geometric Asian options under Heston's stochastic volatility model
- Authors
- Kim, Bara; Wee, In-Suk
- Issue Date
- 2014
- Publisher
- ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
- Keywords
- Stochastic volatility; Asian options; Options pricing; Quantitative finance techniques; Methodology of pricing derivatives
- Citation
- QUANTITATIVE FINANCE, v.14, no.10, pp.1795 - 1809
- Indexed
- SCIE
SSCI
SCOPUS
- Journal Title
- QUANTITATIVE FINANCE
- Volume
- 14
- Number
- 10
- Start Page
- 1795
- End Page
- 1809
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/101143
- DOI
- 10.1080/14697688.2011.596844
- ISSN
- 1469-7688
- 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.
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - College of Science > Department of Mathematics > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.