Path-dependent game options with Asian features

DOI10.1016/j.chaos.2020.110412zbMath1496.91084MaRDI QIDQ2128183

Jizhou Zhang, Qian Wang, Peidong Guo

Publication date: 21 April 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2020.110412

zbMATH Keywords

American options; game options; Asian features; path dependent

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Perpetual cancellable American options with convertible features

Cites Work

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