Analytical pricing of discrete arithmetic Asian options under generalized CIR process with time change
Zhigang Tong and Allen Liu
| Year of publication: |
March 2018
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|---|---|
| Authors: | Tong, Zhigang ; Liu, Allen |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 5.2018, 1, p. 1-21
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| Subject: | Discrete arithmetic Asian options | stochastic time change | nonlinear transformation | eigenfunction expansion | Lévy subordinator | Fourier transform | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |