General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
Gianluca Fusai (Dipartimento SEI, Università del Piemonte Orientale, Novara, Italy; and Cass Business School, City University London, London, United Kingdom), Ioannis Kyriakou (Cass Business School, City University London, London, United Kingdom)
| Year of publication: |
May 2016
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|---|---|
| Authors: | Fusai, Gianluca ; Kyriakou, Ioannis |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 41.2016, 2, p. 531-559
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| Subject: | arithmetic Asian options | CEV diffusion | stochastic volatility models | Lévy processes | discrete average | continuous average | Fourier transform | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2015.0739 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011520483