Pricing Arithmetic Asian Options under Hybrid Stochastic and Local Volatility
نویسندگان
چکیده
منابع مشابه
Pricing and Hedging Options under Stochastic Volatility
In this essay, I mainly discuss how to price and hedge options in stochastic volatility (SV) models. The market is incomplete in the SV model, whereas it is complete in the Black-Scholes model. Thus the option pricing and hedging methods are a little different for the SV model and for the Black-Scholes model. The no-arbitrage argument and the risk-neutral valuation method are two general method...
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ژورنال
عنوان ژورنال: Journal of Applied Mathematics
سال: 2014
ISSN: 1110-757X,1687-0042
DOI: 10.1155/2014/784386