Short maturity conditional Asian options in local volatility models
Nian Yao, Zhichao Ling, Jieyu Zhang, Mingqing Xiao
| Year of publication: |
2020
|
|---|---|
| Authors: | Yao, Nian ; Ling, Zhichao ; Zhang, Jieyu ; Xiao, Mingqing |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 14.2020, 2, p. 307-328
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| Subject: | Conditional Asian options | Short maturity | Local volatility | Large deviations | Variational problem | Volatilität | Volatility | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Asien | Asia | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-020-00257-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012240287