Closed-form expansions of discretely monitored Asian options in diffusion models
Ning Cai; Chenxu Li; Chao Shi
| Year of publication: |
2014
|
|---|---|
| Authors: | Cai, Ning ; Li, Chenxu ; Shi, Chao |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 39.2014, 3, p. 789-822
|
| Subject: | discretely monitored Asian options | the CEV model | the CIR process | the Black-Scholes model | the Brennan and Schwartz process | small-time expansion | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010402956