Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
Year of publication: |
2010
|
---|---|
Authors: | Forde, Martin ; Jacquier, Antoine |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 17.2010, 3, p. 241-259
|
Publisher: |
Taylor & Francis Journals |
Subject: | Asian options | Heston | stochastic volatility | calibration | volatility swaps |
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