Estimation of sensitivity parameters of the arithmetic Asian options

MaRDI QIDQ3071560zbMATH OpenFDO

Authors Qinchao Feng, Xin Lai

Publication date 5 February 2011

zbMATH Keywords

arithmetic Asian optionslikelihood ratio methodspathwise methodssensitivity parameters

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cited in

(3)

• Application of high-precision computing for pricing arithmetic Asian options
• Sensitivities of Asian options in the Black-Scholes model
• Prices and sensitivities of Asian options: A survey

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