ASIAN OPTION EVALUATION IN STOCHASTIC VOLATILITY MODELS WITH JUMPS

In the present talk we shall provide a semi-explicit valuation formula for Geometric Asian Options, with fixed and floating strike under
continuous monitoring, when the underlying stock price process exhibits both stochastic volatility and jumps. More precisely, we shall work in the
Barndorff-Nielsen and Shephard (BNS) model framework. After illustrating via numerical comparison with other methods the results obtained, it will be shown how these could be generalized to a much wider model class through a suitable technique combining stochastic calculus with complex analysis.