Pricing Arithmetic Asian Options under Hybrid Stochastic and Local Volatility

Figure 2

The correction term 𝑃₁ with respect to the group parameters 𝑉₂ and 𝑉₃; 𝑟=0.06, 𝜎=0.5, 𝑇=1, 𝑆=2, 𝐾₁=0, and 𝐾₂=2.

(a) 𝑃₁

(b) 𝑃₁