On the explicit evaluation of the Geometric Asian options in stochastic volatility models with jumps |
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| Authors: | Friedrich Hubalek |
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| Institution: | a Vienna University of Technology, Financial and Actuarial Mathematics, Wiedner Hauptstraße 8/105-1, A-1040 Vienna, Austriab Department of Mathematics, Politecnico di Milano, Piazza Leonardo da Vinci, 32, I-20133 Milan, Italy |
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| Abstract: | In the present paper we provide a semiexplicit valuation formula for Geometric Asian options, with fixed and floating strike under continuous monitoring, when the underlying stock price process exhibits both stochastic volatility and jumps. More precisely, we shall work in the Barndorff-Nielsen and Shephard (BNS) model framework. We shall provide some numerical illustrations of the results obtained. |
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| Keywords: | Geometric Asian options Average strike options Average price options Stochastic volatility Lé vy processes |
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