Matches in SemOpenAlex for { <https://semopenalex.org/work/W2891560052> ?p ?o ?g. }
Showing items 1 to 71 of
71
with 100 items per page.
- W2891560052 abstract "This paper presents a new approximation formula for pricing multi-dimensional discretely monitored average options in a local-stochastic volatility (LSV) model with jumps by applying an asymptotic expansion technique. Moreover, it provides a justification of the approximation method with some asymptotic error estimates for general payoff functions. Particularly, our model includes local volatility functions and jump components in the underlying asset price as well as its volatility processes. To the best of our knowledge, the proposed approximation is the first one which achieves analytic approximations for the average option prices in this environment. In numerical experiments, by employing several models, we provide approximate prices for the listed average and calendar spread options on the WTI futures based on the parameters through calibration to the listed (plain-vanilla) futures options prices. Then, we compare those with the CME settlement prices, which confirms the validity of the method. Moreover, we show that the LSV with jumps model is able to replicate consistently and precisely listed futures option, calendar spread option and average option prices with common parameters." @default.
- W2891560052 created "2018-09-27" @default.
- W2891560052 creator A5037590826 @default.
- W2891560052 creator A5067590340 @default.
- W2891560052 date "2015-07-01" @default.
- W2891560052 modified "2023-10-02" @default.
- W2891560052 title "Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models" @default.
- W2891560052 hasPublicationYear "2015" @default.
- W2891560052 type Work @default.
- W2891560052 sameAs 2891560052 @default.
- W2891560052 citedByCount "0" @default.
- W2891560052 crossrefType "posted-content" @default.
- W2891560052 hasAuthorship W2891560052A5037590826 @default.
- W2891560052 hasAuthorship W2891560052A5067590340 @default.
- W2891560052 hasConcept C106159729 @default.
- W2891560052 hasConcept C106306483 @default.
- W2891560052 hasConcept C121332964 @default.
- W2891560052 hasConcept C144237770 @default.
- W2891560052 hasConcept C149782125 @default.
- W2891560052 hasConcept C162324750 @default.
- W2891560052 hasConcept C194483076 @default.
- W2891560052 hasConcept C22171661 @default.
- W2891560052 hasConcept C2779664328 @default.
- W2891560052 hasConcept C2779834249 @default.
- W2891560052 hasConcept C2780695682 @default.
- W2891560052 hasConcept C33923547 @default.
- W2891560052 hasConcept C62520636 @default.
- W2891560052 hasConcept C85393063 @default.
- W2891560052 hasConcept C91602232 @default.
- W2891560052 hasConceptScore W2891560052C106159729 @default.
- W2891560052 hasConceptScore W2891560052C106306483 @default.
- W2891560052 hasConceptScore W2891560052C121332964 @default.
- W2891560052 hasConceptScore W2891560052C144237770 @default.
- W2891560052 hasConceptScore W2891560052C149782125 @default.
- W2891560052 hasConceptScore W2891560052C162324750 @default.
- W2891560052 hasConceptScore W2891560052C194483076 @default.
- W2891560052 hasConceptScore W2891560052C22171661 @default.
- W2891560052 hasConceptScore W2891560052C2779664328 @default.
- W2891560052 hasConceptScore W2891560052C2779834249 @default.
- W2891560052 hasConceptScore W2891560052C2780695682 @default.
- W2891560052 hasConceptScore W2891560052C33923547 @default.
- W2891560052 hasConceptScore W2891560052C62520636 @default.
- W2891560052 hasConceptScore W2891560052C85393063 @default.
- W2891560052 hasConceptScore W2891560052C91602232 @default.
- W2891560052 hasLocation W28915600521 @default.
- W2891560052 hasOpenAccess W2891560052 @default.
- W2891560052 hasPrimaryLocation W28915600521 @default.
- W2891560052 hasRelatedWork W158272257 @default.
- W2891560052 hasRelatedWork W1603290232 @default.
- W2891560052 hasRelatedWork W1965992773 @default.
- W2891560052 hasRelatedWork W1981198136 @default.
- W2891560052 hasRelatedWork W1984512433 @default.
- W2891560052 hasRelatedWork W2015365582 @default.
- W2891560052 hasRelatedWork W2058829961 @default.
- W2891560052 hasRelatedWork W2169401380 @default.
- W2891560052 hasRelatedWork W2247002682 @default.
- W2891560052 hasRelatedWork W2264928482 @default.
- W2891560052 hasRelatedWork W2288747271 @default.
- W2891560052 hasRelatedWork W2470652588 @default.
- W2891560052 hasRelatedWork W2501326810 @default.
- W2891560052 hasRelatedWork W2522823295 @default.
- W2891560052 hasRelatedWork W2905829118 @default.
- W2891560052 hasRelatedWork W2969587891 @default.
- W2891560052 hasRelatedWork W3082182286 @default.
- W2891560052 hasRelatedWork W3121677735 @default.
- W2891560052 hasRelatedWork W3123534290 @default.
- W2891560052 hasRelatedWork W3124437785 @default.
- W2891560052 isParatext "false" @default.
- W2891560052 isRetracted "false" @default.
- W2891560052 magId "2891560052" @default.
- W2891560052 workType "article" @default.