Asian option pde


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As long as we understand, up to now, however, there has been no work for Asian options based on a hybrid stochastic and local volatility model. For instance, Geman and Yor [ 3 ] computed the Laplace transform of the price of continuously sampled Asian options. Abstract Recently, hybrid stochastic and local volatility models have become an industry standard for the pricing of derivatives and other problems in finance. The constant elasticity of variance model by Cox [ 10 ], a stochastic volatility model by Heston [ 11 ] or Fouque et al. They are usually traded in over-the-counter market or embedded in structured products. On the other hand, the PDE methods must deal with an extra state variable representing the running sum of the underlying process, which leads to an issue for reducing the dimension of the PDE. Thus a number of alternative underlying models have been proposed.
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Asian option - Wikipedia

This paper is concerned with one of the exotic options called an Asian option. When one wants to compute the solution of the classical Black-Scholes equation: Refer to Kemna and Vorst [ 6 ] for a discussion of the pricing of Asian options with Monte Carlo methods. So, this paper will generalize both [ 14 , 15 ] into an approximation problem for the price of arithmetic average Asian options based on the SVCEV model.
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Asian option

Asian option pde



Description: Pascal, Champs-sur-Marne, France. Since Asian options reduce the volatility inherent in the option, the price of these options is usually lower than the price of classical European vanilla options. Section 4 is devoted to obtain an approximated option price under the condition of fast mean-reverting volatility. In fact, there are a number of recent studies along the lines of this type of extension.

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