The pricing of geometric average Asian options under the nonlinear Black-Scholes model (Q2993880)
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scientific article; zbMATH DE number 6612427
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| English | The pricing of geometric average Asian options under the nonlinear Black-Scholes model |
scientific article; zbMATH DE number 6612427 |
Statements
10 August 2016
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geometric average Asian options
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nonlinear Black-Scholes model
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Green function
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error estimates
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0.969776213169098
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0.9406030774116516
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0.8498659729957581
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