Pricing Asian options with stochastic convenience yield and jumps
研究了在随机便利收益率、随机利率和商品现货价格跳跃下，对商品期货合约的亚式期权进行定价，并给出了无跳跃情形下的几何平均亚式期权闭式解。
We price Asian options on commodity futures contracts in the presence of stochastic convenience yield, stochastic interest rates and jumps in the commodity spot price. In the case of no jumps, we obtain a closed-form solution for a geometric average Asian option. This analytic result enables us to employ this option as a suitable control variate when pricing the corresponding arithmetic average Asian option. Discussion of further applications and comparative statics are presented. To cover the case with jumps, we condition on the jump times first and then average over the sequences of jump times.