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- W2932148232 abstract "Abstract The valuation of Asian options is complicated because the arithmetic average of lognormal random variables is no longer lognormal. Furthermore, the stochastic volatility inherent in financial asset prices is easily observed. However, few academic studies consider the pricing and hedging of Asian options with stochastic volatility, despite the popularity of such options. This study extends the work of Hull and White (1987) and integrates the Taylor series expansion technique to derive an approximate analytic solution for Asian options with stochastic volatility. Numerical experiments show that the proposed approximate analytic solution performs favorably and is computationally efficient compared with large-sample simulations. The approximate analytic solution provides a practical approach for pricing and hedging Asian options with stochastic volatility and is both easy to implement and desirable in terms of computing speed." @default.
- W2932148232 created "2019-04-11" @default.
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- W2932148232 date "2020-11-01" @default.
- W2932148232 modified "2023-10-02" @default.
- W2932148232 title "Approximate analytic solution for Asian options with stochastic volatility" @default.
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- W2932148232 doi "https://doi.org/10.1016/j.najef.2019.03.014" @default.
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