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

Research output: Contribution to journal › Research article › Contributed › peer-review

Contributors

Details

Original languageEnglish
Pages (from-to)873-888
JournalQuantitative Finance
Volume17
Issue number6
Publication statusPublished - 2017
Peer-reviewedYes

External IDs

Scopus 85006893046
ORCID /0000-0003-0913-3363/work/166762733

Keywords

Keywords

  • financial mathematics, Asian options, affine processes, jump processes, derivative pricing