On the valuation of discrete Asian options in high volatility environments
Year of publication: |
2021
|
---|---|
Authors: | Desmettre, Sascha ; Wenzel, Jörg |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 28.2021, 6, p. 508-533
|
Subject: | Discrete Asian options | Heston model | high volatility | Monte-Carlo valuation | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Optionsgeschäft | Option trading |
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