PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS
Year of publication: |
2011
|
---|---|
Authors: | LORENZO, MERCURI |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 14.2011, 02, p. 313-333
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Asian options | affine Garch models | Fourier transform | semi-analytical valuation | Edgeworth series |
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