Exotic Geometric Average Options Pricing under Stochastic Volatility
Nabil Tahani
Applied Mathematical Finance, 2013, vol. 20, issue 3, 229-245
Abstract:
This article derives semi-analytical pricing formulae for geometric average options (GAOs) within a stochastic volatility framework. Assuming a general mean reverting process for the underlying asset and a square-root process for the volatility, the cross-moment generating function is derived and the cumulative probabilities are recovered using the Gauss--Laguerre quadrature rule. Fixed and floating strikes as well as other exotic GAO on different assets such as stocks, currency exchange rates and interest rates are derived. The approach is found to be very accurate and efficient.
Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (2)
Downloads: (external link)
http://hdl.handle.net/10.1080/1350486X.2012.678735 (text/html)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:taf:apmtfi:v:20:y:2013:i:3:p:229-245
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAMF20
DOI: 10.1080/1350486X.2012.678735
Access Statistics for this article
Applied Mathematical Finance is currently edited by Professor Ben Hambly and Christoph Reisinger
More articles in Applied Mathematical Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().