Geometric Asian option pricing in general affine stochastic volatility models with jumps

Hubalek Friedrich; Keller-Ressel Martin; Sgarra Carlo

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Geometric Asian option pricing in general affine stochastic volatility models with jumps

机译：跳跃的一般仿射随机波动率模型的几何亚洲期权定价

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摘要

In this paper, we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which several different valuation problems based on some average process can be cast, and we shall obtain closed form solutions for some relevant affine model classes.

机译：本文给出了带跳跃的仿射随机波动率模型的几何亚式期权估值的一些结果。我们将提供一个通用框架，在这个框架中，基于某个平均过程的几个不同的估值问题可以被转换，并且我们将获得一些相关仿射模型类的闭式解。

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来源
《Quantitative finance》 |2017年第6期|共16页
作者
Hubalek Friedrich; Keller-Ressel Martin; Sgarra Carlo;
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作者单位

Vienna Univ Technol Financial &

Actuarial Math Wiedner Hauptstr 8-105-1 A-1040 Vienna Austria;

Tech Univ Dresden Inst Math Stochast Fachrichtung Math ZellescherWeg 12-14 D-01062 Dresden Germany;

Politecn Milan Dept Math Piazza Leonardo da Vinci 32 I-20133 Milan Italy;

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原文格式 PDF
正文语种 eng
中图分类经济;
关键词
Geometric Asian options; Average Strike options; Average Price options; Stochastic volatility; Affine processes;

机译：几何亚洲选项;平均罢工选项;平均价格选择;随机波动;仿射过程;

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专利

1. PARAMETER ESTIMATION FOR A DISCRETELY OBSERVED STOCHASTIC VOLATILITY MODEL WITH JUMPS IN THE VOLATILITY [J] . 数学年刊B辑（英文版） . 2003,第002期
2. PRICING BARRIER OPTIONS UNDER STOCHASTIC VOLATILITY FRAMEWORK [J] . ZHAI Yunfei, BI Xiuchun, ZHANG Shuguang 系统科学与复杂性：英文版 . 2013,第004期
3. Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate [J] . Yanhong Zhong, Guohe Deng Complexity . 2019,第1期

机译：几何亚洲选项在双髋关节随机波动率模型下定价，随机利率
4. Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate [J] . Yanhong Zhong, Guohe Deng Complexity . 2019,第2期

机译：几何亚洲选项在双髋关节随机波动率模型下定价，随机利率
5. SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL [J] . HOSSEIN JAFARI, GHAZALEH RAHIMI International journal of theoretical and applied finance . 2019,第2期

机译：随机波动率跳跃扩散模型几何亚洲选项中的小型渐近学
6. Pricing Geometric Asian Options under Stochastic Volatility Framework [C] . Zhai Yunfei, Zhang Shuguang Proceedings of the Third International Conference on Business Intelligence and Financial Engineering . 2010

机译：随机波动率框架下亚洲几何期权的定价
7. Pricing of Geometric Asian Options in General Affine Stochastic Volatility Models [D] . Ruppert, Johannes. 2016

机译：一般仿射随机波动率模型的几何亚洲选项定价
8. Geometric Average Asian Option Pricing with Paying Dividend Yield under Non-Extensive Statistical Mechanics for Time-Varying Model [O] . Jixia Wang, Yameng Zhang 2018

机译：几何平均亚洲期权定价与超大统计力学下的股息产量计算时变模型
9. Geometric Asian option pricing in general affine stochastic volatility models with jumps [O] . Hubalek, Friedrich, Keller-Ressel, Martin, Sgarra, Carlo 2017

机译：一般仿射随机波动率模型中带有跳跃的亚洲几何期权定价
10. Option Pricing with a Levy-Type Stochastic Dynamic Model for Stock Price Process Under Semi-Markovian Structural Perturbations. [R] . Assonken, P., Ladde, G. S. 2015

机译：半马尔可夫结构扰动下股票价格过程的Levy型随机动态模型期权定价。

Geometric Asian option pricing in general affine stochastic volatility models with jumps

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