지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
오류제보하기
We aim to compute discretely monitored geometric Asian option prices under the Heston model. This method involves explicit formula for multivariate generalized Fourier transform of volatility process and their integrals over different time intervals using a recursive method. As numerical results, we illustrate efficiency and accuracy of our method. In addition, we simulate scenarios which show evidently practical importance of our work.
목차
등록된 정보가 없습니다.
참고문헌 (13)
참고문헌 신청
G. S. Bakshi / 1997 / Empirical performance of alternative option pricing models / J. Financ 2(2):2003~2049
P. P. Boyle / 2008 / Prices and sensitivities of Asian options: A survey / Insurance Math. Econom 42(1):189~211
N. Cai / 2012 / Pricing Asian options under a hyper-exponential jump diffusion model / Oper. Res 60(1):64~77
A. Cerny / 2011 / An improved convolution algorithm for discretely sampled Asian options / Quant. Finance 11(3):381~389
D. Duffie / 2003 / Affine processes and applications in finance / Ann. Appl. Probab 13(3):984~1053
P. P. Boyle / 2008 / Prices and sensitivities of Asian options: A survey / Insurance Math. Econom 42(1):189~211
N. Cai / 2012 / Pricing Asian options under a hyper-exponential jump diffusion model / Oper. Res 60(1):64~77
A. Cerny / 2011 / An improved convolution algorithm for discretely sampled Asian options / Quant. Finance 11(3):381~389
D. Duffie / 2003 / Affine processes and applications in finance / Ann. Appl. Probab 13(3):984~1053
함께 읽어보면 좋을 논문
논문 유사도에 따라 DBpia 가 추천하는 논문입니다. 함께 보면 좋을 연관 논문을 확인해보세요!
-
The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure
대한수학회지
2020 .01
-
PRICING OF TIMER-DIGITAL POWER OPTIONS
East Asian Mathematical Journal
2024 .01
-
PRACTICAL INVESTMENT STRATEGIES UNDER A MULTI-SCALE HESTON’S STOCHASTIC VOLATILITY MODEL
East Asian Mathematical Journal
2017 .01
-
Option pricing under general geometric Riemannian Brownian motions
대한수학회보
2016 .01
-
A Representation for an Inverse Generalized Fourier-Feynman Transform associated with Gaussian Process on Function Space
순수 및 응용수학
2021 .11
-
Change of scale formulas for function space integrals related with Fourier-Feynman transform and convolution on $C_{a,b}[0,T]$
한국수학논문집
2015 .01
-
Geometric origin of quantum geometric tensor in a chiral chain
한국자기학회 학술연구발표회 논문개요집
2024 .05
-
Pricing Vulnerable Power Option under a CEV Diffusion
East Asian Mathematical Journal
2021 .09
-
Pricing American lookback options under a stochastic volatility model
대한수학회보
2023 .03
-
PATH AVERAGED OPTION VALUE CRITERIA FOR SELECTING BETTER OPTIONS
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2016 .06
-
Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images
대한수학회논문집
2018 .01
-
교육과정에 따른 중학교 작도 과제의 변화 연구
East Asian Mathematical Journal
2020 .01
-
General Definitions of Integral Transforms for Mathematical Physics
새물리
2020 .09
-
근사적 옵션 가격의 수치적 비교
응용통계연구
2017 .04
-
A translation theorem for the generalized Fourier--Feynman transform associated with Gaussian process on function space
대한수학회지
2016 .01
-
A New Geometric Constant in Banach Spaces Related to the Isosceles Orthogonality
Kyungpook Mathematical Journal
2022 .06
-
Chooser options on various underlying options
대한수학회논문집
2024 .04
-
Generalized sequential convolution product for the generalized sequential Fourier-Feynman transform
한국수학논문집
2021 .01
-
PRICING VOLATILITY SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING
Nonlinear Functional Analysis and Applications
2019 .01
이 논문의 저자 정보
최근 본 자료
댓글(0)
0