On the explicit evaluation of the Geometric Asian options in stochastic volatility models with jumps

Authors:
Friedrich Hubalek;Carlo Sgarra
Affiliations:
Vienna University of Technology, Financial and Actuarial Mathematics, Wiedner Hauptstraíe 8/105-1, A-1040 Vienna, Austria;Department of Mathematics, Politecnico di Milano, Piazza Leonardo da Vinci, 32, I-20133 Milan, Italy
Venue:
Journal of Computational and Applied Mathematics
Year:
2011

Citing 2
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Abstract

In the present paper we provide a semiexplicit valuation formula for Geometric Asian options, with fixed and floating strike under continuous monitoring, when the underlying stock price process exhibits both stochastic volatility and jumps. More precisely, we shall work in the Barndorff-Nielsen and Shephard (BNS) model framework. We shall provide some numerical illustrations of the results obtained.