Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
Zhenyu Cui, Chihoon Lee, Yanchu Liu
| Year of publication: |
1 May 2018
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| Authors: | Cui, Zhenyu ; Lee, Chihoon ; Liu, Yanchu |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 266.2018, 3 (1.5.), p. 1134-1139
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| Subject: | Finance | Asian option | Markov process | Continuous-time Markov chain | Laplace transform | Wahrscheinlichkeitsrechnung | Probability theory | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.10.049 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011812242