PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options (Q3448333)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options |
scientific article |
Statements
PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options (English)
0 references
23 October 2015
0 references
Asian option pricing
0 references
Lévy process
0 references
partial integro-differential equations (PIDE)
0 references
equivalent martingale measure
0 references
calibration
0 references
0 references
0 references
0 references
