General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
Year of publication: |
May 2016
|
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Authors: | Fusai, Gianluca ; Kyriakou, Ioannis |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 41.2016, 2, p. 531-559
|
Subject: | arithmetic Asian options | CEV diffusion | stochastic volatility models | Lévy processes | discrete average | continuous average | Fourier transform | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Optionsgeschäft | Option trading |
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