Pricing options on the maximum of two average prices under stochastic volatility models

Xingchun Wang ()

Applied Economics Letters, 2022, vol. 29, issue 10, 887-894

Abstract: In this paper, we work under a stochastic volatility model to value options on the maximum of two average prices. In the proposed framework, explicit pricing formulae of options on the maximum of two average prices are obtained. Finally, we perform numerical examples to illustrate the prices of options on the maximum of two average prices and those of options on the maximum of two underlying asset prices.

Date: 2022
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DOI: 10.1080/13504851.2021.1896671

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