General optimized lower and upper bounds for discrete and continuous arithmetic Asian options (Q2806817)
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scientific article; zbMATH DE number 6582383
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| default for all languages | No label defined |
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| English | General optimized lower and upper bounds for discrete and continuous arithmetic Asian options |
scientific article; zbMATH DE number 6582383 |
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19 May 2016
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arithmetic Asian options
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CEV diffusion
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stochastic volatility models
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Lévy processes
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discrete average
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continuous average
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Fourier transform
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General optimized lower and upper bounds for discrete and continuous arithmetic Asian options (English)
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0.8577081561088562
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0.8522117137908936
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0.8490098714828491
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0.846377968788147
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