EconPapers    
Economics at your fingertips  
 

Pricing of geometric Asian options under Heston's stochastic volatility model

Bara Kim and In-Suk Wee

Quantitative Finance, 2014, vol. 14, issue 10, 1795-1809

Abstract: In this work, it is assumed that the underlying asset price follows Heston's stochastic volatility model and explicit solutions for the prices of geometric Asian options with fixed and floating strikes are derived. This approach has to deal with the derivation of the generalized joint Fourier transform of a square-root process and of three different weighted integrals of the square-root process with constant, linear and quadratic weights. Numerical implementation results for the complicated expressions are presented, together with the computational stability and efficiency of the method.

Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2011.596844 (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:quantf:v:14:y:2014:i:10:p:1795-1809

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2018-08-11
Handle: RePEc:taf:quantf:v:14:y:2014:i:10:p:1795-1809