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Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps

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  • Friedrich Hubalek
  • Martin Keller-Ressel
  • Carlo Sgarra

Abstract

In this paper we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which several different valuation problems based on some average process can be cast, and we shall obtain close-form solutions for some relevant affine model classes.

Suggested Citation

  • Friedrich Hubalek & Martin Keller-Ressel & Carlo Sgarra, 2014. "Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps," Papers 1407.2514, arXiv.org.
  • Handle: RePEc:arx:papers:1407.2514
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    References listed on IDEAS

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    Cited by:

    1. Gianluca Fusai & Ioannis Kyriakou, 2016. "General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options," Mathematics of Operations Research, INFORMS, vol. 41(2), pages 531-559, May.

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