Utility Indifference Price for the Asian Option in the Stochastic Volatility Model

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概要

• 論文の詳細を見る

• This article aims to express the pricing formula of Asian option via utility indifference pricing and examine the effects of the stochastic volatility on the option price. We consider the pricing problem for Asian option under the stochastic volatility, and derive approximated utility indefference price for the option. In order to express Asian option pricing formula by probabilistic form, we use the approximation scheme for utility indifference pricing. We further explore that the effects of the skewness for the return of the underlying on Asian option price by numerical scheme as examined in Heston(1993).

• 名古屋商科大学の論文

著者

• 瀧野 一洋

  名古屋商科大学会計ファイナンス学部

• 瀧野 一洋

  名古屋商科大学

• Takino Kazuhiro

  名古屋商科大学

関連論文

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• Utility Indifference Price for the Asian Option in the Stochastic Volatility Model
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• 指数ヘッジと平均分数ヘッジ:非完備市場モデルにおける数値実験

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