Approximate analytic solution for Asian options with stochastic volatility
Chung-Gee Lin, Chia-Chang Chang
| Year of publication: |
2020
|
|---|---|
| Authors: | Lin, Chung-Gee ; Chang, Chia-Chang |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 54.2020, p. 1-12
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| Subject: | Stochastic volatility | Approximate analytic solution | Asian option | Lognormal | Taylor series expansion | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2019.03.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012667176