On the implied volatility of Asian options under stochastic volatility models
Year of publication: |
2023
|
---|---|
Authors: | Alòs, Elisa ; Nualart, Eulalia ; Pravosud, Makar |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 30.2023, 5, p. 249-274
|
Subject: | Asian options | implied volatility | Malliavin calculus | Stochastic volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
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