Arithmetic Asian Options under Stochastic Delay Models
AbstractMotivated by the increasing interest in past-dependent asset pricing models, shown in recent years by market practitioners and prominent authors such as Hobson and Rogers (1998, Complete models with stochastic volatility, Mathematical Finance, 8(1), pp. 27--48), we explore option pricing techniques for arithmetic Asian options under a stochastic delay differential equation approach. We obtain explicit closed-form expressions for a number of lower and upper bounds and compare their accuracy numerically.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Mathematical Finance.
Volume (Year): 18 (2011)
Issue (Month): 5 (February)
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Web page: http://www.tandfonline.com/RAMF20
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