This study proposes a new approximation formula for pricing average options on commodities under a stochastic volatility environment. In particular, it derives an option pricing formula under Heston and an extended l-SABR stochastic volatility models (which includes an extended SABR model as a speci
β¦ LIBER β¦
Adaptive placement method on pricing arithmetic average options
β Scribed by Tian-Shyr Dai; Jr-Yan Wang; Hui-Shan Wei
- Publisher
- Springer US
- Year
- 2008
- Tongue
- English
- Weight
- 617 KB
- Volume
- 11
- Category
- Article
- ISSN
- 1380-6645
No coin nor oath required. For personal study only.
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