Most-likely-path in Asian option pricing under local voluntility models
Louis-Pierre Arguin, Nien-Lin Liu, Tai-Ho Wang
| Year of publication: |
August 2018
|
|---|---|
| Authors: | Arguin, Louis-Pierre ; Liu, Nien-Lin ; Wang, Tai-Ho |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 5, p. 1-32
|
| Subject: | Asian option pricing | asymptotic expansion | exotic option | large deviation theory | most-likely-path | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Asien | Asia |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500292 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011903764