Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets
By Griselda Deelstra, Grégory Rayée, Steven Vanduffel and Jing Yao
| Year of publication: |
2014
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|---|---|
| Authors: | Deelstra, Griselda ; Rayée, Grégory ; Vanduffel, Steven ; Yao, Jing |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 44.2014, 2, p. 237-276
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| Subject: | Asian-style options | conditional expectation | control variates | stochastic clock | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010393957