AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS (Q3022037)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS |
scientific article |
Statements
AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS (English)
0 references
22 June 2005
0 references
Maximum entropy
0 references
moment problem
0 references
exotic options
0 references
Laplace transform
0 references
numerical inversion
0 references
Edgeworth approximation
0 references
0 references
