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Property / DOI: 10.1016/j.physa.2018.05.069 / rank
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Property / full work available at URL: https://doi.org/10.1016/j.physa.2018.05.069 / rank
 
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Property / OpenAlex ID: W2804925109 / rank
 
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Latest revision as of 06:21, 17 December 2024

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Analytical valuation for geometric Asian options in illiquid markets
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    Analytical valuation for geometric Asian options in illiquid markets (English)
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    30 June 2022
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    Asian options
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    option pricing
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    market liquidity
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    partial differential equations
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    Monte Carlo simulation
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