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Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps
16 references·1 citing·43 second hop
Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps (2014)Analytical pricing of discrete arithmetic…Variance swap with mean reversion, multifactor stochastic volatility and jumps (2015)Variance swap with mean rever…Option pricing with mean reversion and stochastic volatility (2008)Option pricing with mean reve…On the qualitative effect of volatility and duration on prices of Asian options (2008)On the qualitative effect of …Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets (2008)Analytical pricing of discret…Prices and sensitivities of Asian options: A survey (2007)Prices and sensitivities of A…Understanding the Fine Structure of Electricity Prices* (2006)Understanding the Fine Struct…Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates (2005)Stochastic Convenience Yield …Financial Modelling with Jump Processes (2004)Financial Modelling with Jump…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans (2002)Stochastic Volatility and Sea…Energy and Power Risk Management (2002)Energy and Power Risk Managem…Derivatives : The Tools That Changed Finance (2001)Derivatives : The Tools That …Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Jump Processes in Commodity Futures Prices and Options Pricing (1999)Jump Processes in Commodity F…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure (1995)Mean Reversion in Equilibrium…Commodity Asian option pricing and simulation in a 4-factor model with jump clusters (2023)Commodity Asian option pricin…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean reversion in stock prices (1988)Permanent and Temporary Components of Stock Prices (1988)Modeling seasonality in agricultural commodity futures (2002)An overview of global gold market and gold price forecasting (2010)Modelling and measuring price discovery in commodity markets (2010)Energy Risk: Valuing and Managing Energy Derivatives (1997)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (2007)Stochastic modeling of financial electricity contracts (2007)Modelling Electricity Prices: International Evidence* (2011)Non-parametric calibration of jump–diffusion option pricing models (2004)Stochastic Integration and Differential Equations (2005)A Multivariate Jump-Driven Financial Asset Model (2006)Option Pricing Under a Mixed-Exponential Jump Diffusion Model (2011)An equilibrium characterization of the term structure (1977)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)Martingales and arbitrage in multiperiod securities markets (1979)Limits to arbitrage and hedging: Evidence from commodity markets (2013)Risk premia in crude oil futures prices (2013)The financial economics of gold — A survey (2015)Empirical Performance of Alternative Option Pricing Models (1997)Intraday volatility interaction between the crude oil and equity markets (2015)Regime-switching stochastic volatility model: estimation and calibration to VIX options (2017)A General Valuation Framework for SABR and Stochastic Local Volatility Models (2018)The Value of Waiting to Invest (1982)Soybean Inventory and Forward Curve Dynamics (2005)Estimation and hedging effectiveness of time‐varying hedge ratio: Flexible bivariate garch approaches (2009)Seasonality and the valuation of commodity options (2012)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Research Commentary: Introducing a Third Dimension in Information Systems Design—The Case for Incentive Alignment (2001)An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation (2010)
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References

  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 2005Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates443 cited
  • 2004Financial Modelling with Jump Processes419 cited
  • 1995Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure400 cited
  • 2006Understanding the Fine Structure of Electricity Prices*386 cited
  • 2002Energy and Power Risk Management239 cited
  • 2002Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans95 cited
  • 2008Option pricing with mean reversion and stochastic volatility87 cited
  • 1999Jump Processes in Commodity Futures Prices and Options Pricing87 cited
  • 2001Derivatives : The Tools That Changed Finance68 cited
  • 2007Prices and sensitivities of Asian options: A survey65 cited
  • 2008Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets49 cited
  • 2015Variance swap with mean reversion, multifactor stochastic volatility and jumps

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48 cited
  • 2008On the qualitative effect of volatility and duration on prices of Asian options43 cited
  • Cited by

    • 2023Commodity Asian option pricing and simulation in a 4-factor model with jump clusters21 cited