Pricing Asian options : a comparison of numerical and simulation approaches twenty years later
Akos Horvath, Peter Medvegyev
| Year of publication: |
November 2016
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|---|---|
| Authors: | Horvath, Akos ; Medvegyev, Peter |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 5, p. 810-841
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| Subject: | Asian Options | Laplace Transform Inversion | Monte Carlo Simulation | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation | Asien | Asia |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2016.65056 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011657691