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"Pricing Average Options under Stochastic Volatility Models" (in Japanese)


  • Kenichiro Shiraya

    (Mizuho-DL Financial Technology Co., Ltd.)

  • Akihiko Takahashi

    (Faculty of Economics, University of Tokyo)

  • Masashi Toda

    (Graduate School of Economics, University of Tokyo)


This paper derives an approximation formula for average options under two stochastic volatility models such as Heston and ă(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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  • Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda, 2009. ""Pricing Average Options under Stochastic Volatility Models" (in Japanese)," CIRJE J-Series CIRJE-J-208, CIRJE, Faculty of Economics, University of Tokyo.
  • Handle: RePEc:tky:jseres:2009cj208

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    6. repec:hrv:faseco:30723290 is not listed on IDEAS
    7. Shang-Jin Wei, 1997. "Gradualism versus Big Bang: Speed and Sustainability of Reforms," Canadian Journal of Economics, Canadian Economics Association, vol. 30(4), pages 1234-1247, November.
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