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Pricing Arithmetic Asian Options under Hybrid Stochastic and Local Volatility
Joint Authors
Jang, Kyu-Hwan
Kim, Jeong-Hoon
Lee, Min-Ku
Source
Journal of Applied Mathematics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-01-08
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
Recently, hybrid stochastic and local volatility models have become an industry standard for the pricing of derivatives and other problems in finance.
In this study, we use a multiscale stochastic volatility model incorporated by the constant elasticity of variance to understand the price structure of continuous arithmetic average Asian options.
The multiscale partial differential equation for the option price is approximated by a couple of single scale partial differential equations.
In terms of the elasticity parameter governing the leverage effect, a correction to the stochastic volatility model is made for more efficient pricing and hedging of Asian options.
American Psychological Association (APA)
Lee, Min-Ku& Kim, Jeong-Hoon& Jang, Kyu-Hwan. 2014. Pricing Arithmetic Asian Options under Hybrid Stochastic and Local Volatility. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-497823
Modern Language Association (MLA)
Lee, Min-Ku…[et al.]. Pricing Arithmetic Asian Options under Hybrid Stochastic and Local Volatility. Journal of Applied Mathematics No. 2014 (2014), pp.1-8.
https://search.emarefa.net/detail/BIM-497823
American Medical Association (AMA)
Lee, Min-Ku& Kim, Jeong-Hoon& Jang, Kyu-Hwan. Pricing Arithmetic Asian Options under Hybrid Stochastic and Local Volatility. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-497823
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-497823