Valuing vulnerable geometric Asian options

DOI10.1016/j.camwa.2015.12.038zbMath1443.91295OpenAlexW2278012108MaRDI QIDQ2006638

Ji-Hun Yoon, Myungjoo Kang, Junkee Jeon

Publication date: 11 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2015.12.038

zbMATH Keywords

time-dependent coefficientsdouble Mellin transformvulnerable optiongeometric Asian option

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• Pricing vulnerable options under a stochastic volatility model
• A CLOSED-FORM SOLUTION FOR LOOKBACK OPTIONS USING MELLIN TRANSFORM APPROACH
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Stochastic differential equations. An introduction with applications.

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