Analytical approximation method of option pricing under geometric mean-reverting process
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analytical approximationEdgeworth series expansiongeometric mean-reverting processoption pricingTaylor series expansion
Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Computational methods for problems pertaining to probability theory (60-08) Probabilistic models, generic numerical methods in probability and statistics (65C20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- Analytical valuation of American-style Asian options
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- Investment under alternative return assumptions
- THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
- The Valuation of Path Dependent Contracts on the Average
Cited in
(4)- Optimal geometric mean returns of stocks and their options
- On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices
- Asymptotic approximations for pricing derivatives under mean-reverting processes
- An analytical option pricing formula for mean-reverting asset with time-dependent parameter
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