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Article

On Pricing Asian Options under Stochastic Volatility

Emilio Russo and Alessandro Staino
The Journal of Derivatives Summer 2016, 23 (4) 7-19; DOI: https://doi.org/10.3905/jod.2016.23.4.007
Emilio Russo
is an associate professor at the University of Calabria in Rende (CS), Italy.
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  • For correspondence: emilio.russo@unical.it
Alessandro Staino
is an assistant professor at the University of Calabria in Rende (CS), Italy.
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  • For correspondence: alessandro.staino@unical.it
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The Journal of Derivatives: 23 (4)
The Journal of Derivatives
Vol. 23, Issue 4
Summer 2016
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On Pricing Asian Options under Stochastic Volatility
Emilio Russo, Alessandro Staino
The Journal of Derivatives May 2016, 23 (4) 7-19; DOI: 10.3905/jod.2016.23.4.007

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On Pricing Asian Options under Stochastic Volatility
Emilio Russo, Alessandro Staino
The Journal of Derivatives May 2016, 23 (4) 7-19; DOI: 10.3905/jod.2016.23.4.007
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  • Article
    • Abstract
    • THE LATTICE ALGORITHM
    • THE FRAMEWORK
    • THE VOLATILITY PROCESS DISCRETIZATION
    • THE BUCKETS OF ASSET PRICES AND AVERAGES
    • TRANSITION PROBABILITIES
    • THE RECURSIVE BACKWARD SCHEME
    • NUMERICAL RESULTS
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
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