Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models (Q5244869): Difference between revisions

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Latest revision as of 21:47, 9 July 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

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    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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