"Pricing Average Options under Stochastic Volatility Models" (in Japanese)
This 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.
|Date of creation:||Jan 2009|
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