Pricing options on the maximum of two average prices under stochastic volatility models

被引：0
|
作者：
Wang, Xingchun [1 ]
机构：
[1] Univ Int Business & Econ, Sch Int Trade & Econ, Beijing 100029, Peoples R China
来源：
APPLIED ECONOMICS LETTERS | 2022年 / 29卷 / 10期
基金：
中国国家自然科学基金;
关键词：
Options on the maximum; rainbow options; stochastic volatility models; stochastic correlation;
D O I：
10.1080/13504851.2021.1896671
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we work under a stochastic volatility model to value options on the maximum of two average prices. In the proposed framework, explicit pricing formulae of options on the maximum of two average prices are obtained. Finally, we perform numerical examples to illustrate the prices of options on the maximum of two average prices and those of options on the maximum of two underlying asset prices.
引用
收藏
页码：887 / 894
页数：8
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