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~subject:"Discrete arithmetic Asian options"
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Discrete arithmetic Asian options
Option pricing theory
8
Optionspreistheorie
8
Stochastic process
7
Stochastischer Prozess
7
Volatility
3
Volatilität
3
eigenfunction expansion
3
CARMA
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Derivat
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Derivative
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Option trading
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Optionsgeschäft
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Time series analysis
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Yield curve
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Zeitreihenanalyse
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Zinsstruktur
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stochastic time change
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Anleihe
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Bond
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CEV
1
CIR
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Correlation
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Credit Spread Options
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Credit derivative
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Credit risk
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Eigenfunction Expansion
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Electricity price
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Estimation theory
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Forecasting model
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Fourier transform
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Incomplete market
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Jacobi Process
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Kalman filter
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Korrelation
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Kreditderivat
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Kreditrisiko
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Levy subordinator
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Liu, Allen
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Tong, Zhigang
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International journal of financial engineering
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Analytical pricing of discrete arithmetic Asian options under generalized CIR process with time change
Tong, Zhigang
;
Liu, Allen
- In:
International journal of financial engineering
5
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011922948
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