PRICING ASIAN OPTIONS WITH CORRELATORS (Q5061498)

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scientific article; zbMATH DE number 7488288
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English
PRICING ASIAN OPTIONS WITH CORRELATORS
scientific article; zbMATH DE number 7488288

    Statements

    title
    PRICING ASIAN OPTIONS WITH CORRELATORS (English)
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    author
    Silvia Lavagnini
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    publication date
    11 March 2022
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    zbMATH Keywords
    Asian option
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    option pricing
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    Greeks
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    orthogonal polynomials
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    Hermite polynomials
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    polynomial jump-diffusion process
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    correlators
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    33C45
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    60J74
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    zbMATH DE Number
    7488288
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    arXiv ID
    2104.11684
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    OpenAlex ID
    W3215546363
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