Communications in Mathematical Finance

Asian Options Greeks with Heston Stochastic Model Parameters

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  • Abstract

    An Asian option is an example of exotic options. Its payoff depends on the average of the underlying asset prices. In this paper we focused on analytical approximations and a study of sensitivities (Greeks) of Asian options with Heston stochastic volatility model parameters, after a brief introduction to the Black-Scholes theory. Only fixed strike Asian options is considered. After a study of Greeks with Heston model parameter, a comparison of some approximated Greeks against those obtained previously with different approaches is also done. This study is conducted to provide some knowledge and application about the Greeks.

    Keywords: Asian options; Greeks; Approximations; Heston model; Parameters

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