Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps

TL;DR

This paper develops a general framework for valuing Geometric Asian options within affine stochastic volatility models that include jumps, providing explicit formulas for several important model classes.

Contribution

It introduces a unified approach for pricing Geometric Asian options in affine models with jumps and derives closed-form solutions for key model classes.

Findings

Closed-form solutions for certain affine models

A general framework for Asian option valuation

Applicability to models with jumps

Abstract

In this paper we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which several different valuation problems based on some average process can be cast, and we shall obtain close-form solutions for some relevant affine model classes.