openalexMathematics2026-07-23
Semi-Closed-Form Pricing of Vulnerable Geometric Asian Options Under a Three-Factor Stochastic Volatility Jump-Diffusion Model with Stochastic Interest Rates
This paper develops a semi-closed-form pricing framework for vulnerable geometric Asian options under a three-factor stochastic volatility jump-diffusion model with stochastic interest rates. To the best of our knowledge, this is the new framework to simultaneously accommodate co…