Computable error bounds of Laplace inversion for pricing asian options
Yingda Song, Ning Cai, Steven Kou
| Year of publication: |
2018
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|---|---|
| Authors: | Song, Yingda ; Cai, Ning ; Kou, Steven |
| Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 30.2018, 4, p. 634-645
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| Subject: | discretely monitored Asian options | continuously monitored Asian options | continuous-time Markov chains | Laplace inversion | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Asien | Asia |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/ijoc.2017.0805 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011966537