Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models Online Appendix

Kenichiro Shiraya and Akihiko Takahashi
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Kenichiro Shiraya: Graduate School of Economics, the University of Tokyo
Akihiko Takahashi: Graduate School of Economics, the University of Tokyo

No CARF-F-412, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Abstract: This online appendix provides results omitted in the paper with the same title. Appendix A explains all the definitions and equations necessary for practical computations of an option pricing formula in Theorem 4.3: Section A.1 gives a summary with Corollary A.1, which shows our pricing formula with complete expressions of constants Ci,k (i = 1, 2, 3), Cj (j = 4, 5, 6) appearing in the theorem. Section A.2. provides the details of the derivation. Appendix B lists up the conditional expectation formulas used in the derivation of the theorem.

Pages: 27 pages
Date: 2017-07
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Citations: View citations in EconPapers (2)

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