Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate

<table class="figure-group"><tr class="fig-image" id="a"><td><object data="https://static.hindawi.com/articles/complexity/volume-2019/4316272/figures/4316272.fig.001a.svgz" name="4316272.fig.001a" type="image/svg+xml"></object></td></tr><tr class="fig-caption"><td><b>(a) </b>Option price against <svg height="11.927pt" id="M225" style="vertical-align:-3.291101pt" version="1.1" viewbox="-0.0498162 -8.6359 11.1398 11.927" width="11.1398pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M449 634C442 637 425 643 405 650C376 660 341 666 307 666C181 666 98 590 98 485C98 400 170 343 215 310L246 288C307 243 343 204 343 147C343 67 291 18 219 18C104 18 61 124 51 202L23 199C28 124 27 71 27 47C47 22 122 -16 204 -16C324 -16 428 60 428 174C428 256 379 309 307 360L276 382C223 419 179 455 179 516C179 576 221 632 293 632C379 632 410 564 418 487L448 490C446 536 446 592 449 634Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,6.071,3.132)"><path d="M245 635C92 635 37 457 37 312C37 149 91 -12 244 -12C395 -12 449 166 449 312C449 469 395 635 245 635ZM243 598C332 598 358 454 358 312C358 173 334 26 245 26C158 26 128 174 128 313S152 598 243 598Z"></path></g></svg></td></tr><tr class="fig-image" id="b"><td><object data="https://static.hindawi.com/articles/complexity/volume-2019/4316272/figures/4316272.fig.001b.svgz" name="4316272.fig.001b" type="image/svg+xml"></object></td></tr><tr class="fig-caption"><td><b>(b) </b>Option price against <svg height="9.01194pt" id="M226" style="vertical-align:-0.04981995pt" version="1.1" viewbox="-0.0498162 -8.96212 8.41168 9.01194" width="8.41168pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M620 675H597C578 656 570 650 541 650H144C112 650 104 653 94 675H72C59 618 42 552 23 493L53 491C71 534 88 564 105 585C124 608 144 615 238 615H290L197 121C182 40 174 34 88 28L82 0H361L367 28C275 34 266 38 281 121L374 615H441C522 615 543 608 553 583C562 560 566 531 565 493L597 494C603 551 612 629 620 675Z"></path></g></svg></td></tr></table>

<div>Comparison of option prices under Heston, dbH, H-SI, and dbH-SI models.</div>

Complexity

fig1

Figure 1

Figure 1: Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate 