Robust approximations for pricing Asian options and volatility swaps under stochastic volatility

Applied Mathematical Finance

Volumn 17, Issue 3, 2010, Pages 241-259

  Forde, Martin ^a   Jacquier, Antoine ^b  

^a DUBLIN CITY UNIVERSITY   (Ireland)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Asian options; Calibration; Heston; Stochastic volatility; Volatility swaps

Indexed keywords

EID: 77953678366     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860903335348     Document Type: Article

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