Short Maturity Asian Options in Local Volatility Models
نویسندگان
چکیده
منابع مشابه
Asian options and stochastic volatility
In modern asset price models, stochastic volatility plays a crucial role in order to explain several stylized facts of returns. Recently, [3] introduced a class of stochastic volatility models (so called BNS SV model) based on superposition of Ornstein-Uhlenbeck processes driven by subordinators. The BNS SV model forms a flexible class, where one can easily explain heavy-tails and skewness in r...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2016
ISSN: 1945-497X
DOI: 10.1137/15m1047568