Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus
Year of publication: |
2009-09
|
---|---|
Authors: | Yang, Zhaojun ; Ewald, Christian-Oliver ; Menkens, Olaf |
Institutions: | Centre for Research into Industry, Enterprise, Finance and the Firm (CRIEFF), University of St. Andrews |
Subject: | Asian options | option pricing | hedging | Malliavin calculus |
-
Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus
Yang, Zhaojun, (2011)
-
Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus
Yang, Zhaojun, (2011)
-
A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk
Frey, RĂ¼diger, (1995)
- More ...
-
Pricing and hedging of Asian options : quasi-explicit solutions via Malliavin Calculus
Yang, Zhaojun, (2009)
-
Pricing and hedging of Asian options : quasi-explicit solutions via Malliavin calculus
Yang, Zhaojun, (2011)
-
Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus
Yang, Zhaojun, (2011)
- More ...