Showing 1 - 4 of 4
Persistent link: https://www.econbiz.de/10003771581
We develop approximate formulae expressed in terms of elementary functions for the density, the price and the Greeks of path dependent options of Asian style, in a general local volatility model. An algorithm for computing higher order approximations is provided. The proof is based on a heat...
Persistent link: https://www.econbiz.de/10013008567
Persistent link: https://www.econbiz.de/10003635732
Persistent link: https://www.econbiz.de/10013520902