General lattice methods for arithmetic Asian options
Anna Maria Gambaro, Ioannis Kyriakou, Gianluca Fusai
| Year of publication: |
2020
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|---|---|
| Authors: | Gambaro, Anna Maria ; Kyriakou, Ioannis ; Fusai, Gianluca |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 282.2020, 3 (1.5.), p. 1185-1199
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| Subject: | Asian option | Discrete-time model | Early exercise | Finance | Stochastic volatility | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Asien | Asia | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2019.10.026 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012161893