Pricing of Arithmetic Asian Options under Stochastic Volatility Dynamics: Overcoming the Risks of Hi...
Pricing of Arithmetic Asian Options under Stochastic Volatility Dynamics: Overcoming the Risks of High-Frequency Trading
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Basel: MDPI AG
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English
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Basel: MDPI AG
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This research extended the model developed by Hull and White by integrating Taylor-series expansion into the model for deriving approximate analytical solutions for stochastic volatility forward-starting Asian options. Numerical experiments were performed to compare the proposed model with the Monte Carlo model over numerous simulations and demonst...
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Full title
Pricing of Arithmetic Asian Options under Stochastic Volatility Dynamics: Overcoming the Risks of High-Frequency Trading
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TN_cdi_doaj_primary_oai_doaj_org_article_d63b0a80570f4724921927742c17311c
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_doaj_primary_oai_doaj_org_article_d63b0a80570f4724921927742c17311c
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ISSN
2227-7390
E-ISSN
2227-7390
DOI
10.3390/math8122251
