Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes (Q1754191)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes |
scientific article |
Statements
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes (English)
0 references
30 May 2018
0 references
finance
0 references
Asian option
0 references
Markov process
0 references
continuous-time Markov chain
0 references
Laplace transform,
0 references
0 references