Pricing Average Options on Commodities
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References listed on IDEAS
- Graeme West, 2005. "Calibration of the SABR Model in Illiquid Markets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(4), pages 371-385.
- Jean-Pierre Fouque & Chuan-Hsiang Han, 2003. "Pricing Asian options with stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 3(5), pages 353-362.
- Hoi Ying Wong & Ying Lok Cheung, 2004. "Geometric Asian options: valuation and calibration with stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 301-314.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- Jean-Pierre Fouque & Chuan-Hsiang Han, 2004. "Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 597-606.
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- Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang, 2017. "Most-likely-path in Asian option pricing under local volatility models," Papers 1706.02408, arXiv.org.
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