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- W2005514249 abstract "This paper studies continuously sampled geometric Asian options (GAO) in a stochastic volatility economy. The underlying asset price is assumed to follow a geometric Brownian motion with stochastic volatility driven by a mean-reverting process. Semi-analytical pricing formulae for GAO are derived in a fast mean-reverting stochastic volatility economy by the means of a perturbation method. The effects of stochastic volatility on averaging type options are examined. A unified regression approach is proposed to capture smiles of some geometric Asian options and European options in one shot." @default.
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- W2005514249 date "2004-06-01" @default.
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- W2005514249 title "Geometric Asian options: valuation and calibration with stochastic volatility" @default.
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- W2005514249 doi "https://doi.org/10.1088/1469-7688/4/3/006" @default.
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