A no-arbitrage pricing problem for arithmetic Asian options

MaRDI QIDQ2712485zbMATH OpenFDO

Authors Shaolin Ji

Publication date 25 July 2001

Published in Journal of Shandong University. Natural Science Edition (Search for Journal in Brave)

zbMATH Keywords

backward stochastic differential equationGirsanov theoremnonlinear Feynman-Kac formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Cited in

(3)

• Pricing arithmetic Asian options under hybrid stochastic and local volatility
• New pricing formula for arithmetic Asian options using PDE approach
• PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options

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