Asian Options pricing under exponential Ornstein–Uhlenbeck dynamics


Asian options are quite popular in commodity derivative markets where mean–reversion is widely observed. In this paper we consider a jump-diffusion exponential Ornstein-Uhlenbeck dynamics. From a mathematical perspective,... [ view full abstract ]


  1. Riccardo Brignone (Universita Milano Bicocca)
  2. Gianluca Fusai (Universita del Piemonte Orientale)
  3. Ioannis Kyriakou (Cass Business School, City, University of London)

Topic Areas

Computational Finance , Jump-Diffusions , Options


TU-P-UI » American, Asian and Exotic Options (14:30 - Tuesday, 17th July, Ui Chadhain)

Presentation Files

The presenter has not uploaded any presentation files.