"Pricing Average Options under Stochastic Volatility Models" (in Japanese)

Kenichiro Shiraya, Akihiko Takahashi and Masashi Toda
Additional contact information
Kenichiro Shiraya: Mizuho-DL Financial Technology Co., Ltd.
Akihiko Takahashi: Faculty of Economics, University of Tokyo
Masashi Toda: Graduate School of Economics, University of Tokyo

No CIRJE-J-208, CIRJE J-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: This paper derives an approximation formula for average options under two stochastic volatility models such as Heston and ă(Lambda)-SABR models by using an asymptotic expansion method. Moreover, numerical examples with various parameters some of which are obtained by calibration to WTI futures options prices in NYMEX confirm the effectiveness of our formula.

Pages: 37 pages
Date: 2009-01
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Persistent link: https://EconPapers.repec.org/RePEc:tky:jseres:2009cj208

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