Asian Option Pricing
The article proposes a model incorporating mean reversion, stochastic volatility, convenience yield, and jump clustering features of commodity markets, offering a method to price geometric and arithmetic Asian options.
Featured in No. 51 on 28 May 2024 ·
- Released
- 18 Nov 2022
- First featured
- No. 51 · 28 May 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 52
- Identifier
- SSRN 4838123
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).