Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models (Q5244869): Difference between revisions
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Revision as of 19:27, 5 March 2024
scientific article; zbMATH DE number 6421307
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models |
scientific article; zbMATH DE number 6421307 |
Statements
Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models (English)
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31 March 2015
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discretely monitored Asian options
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diffusions
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CEV model
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CIR process
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Black-Scholes model
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Brennan-Schwartz process
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small-time expansion
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