Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps
Year of publication: |
2014
|
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Authors: | Chung, Shing Fung ; Wong, Hoi Ying |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 44.2014, p. 130-140
|
Subject: | Asian options | Fourier transform | Mean reversion | Jump diffusion | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Mean Reversion |
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