"Pricing Average Options under Stochastic Volatility Models" (in Japanese)
AbstractThis paper derives an approximation formula for average options under two stochastic volatility models such as Heston and ƒÉ(Lambda)-SABR models by using an asymptotic expansion method. Moreover, numerical examples with various parameters some of which are obtained by calibration to WTI futures options prices in NYMEX confirm the effectiveness of our formula.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE J-Series with number CIRJE-J-208.
Length: 37 pages
Date of creation: Jan 2009
Date of revision:
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-06-17 (All new papers)
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