Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate

This paper presents an extension of double Heston stochastic volatility model by incorporating stochastic interest rates and derives explicit solutions for the prices of the continuously monitored fixed and floating strike geometric Asian options. The discounted joint characteristic function of the...

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Bibliographic Details
Main Authors: Yanhong Zhong, Guohe Deng
Format: Article
Language:English
Published: Wiley 2019-01-01
Series:Complexity
Online Access:http://dx.doi.org/10.1155/2019/4316272
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