Accurate closed-form approximation for pricing Asian and basket options (Q3552634)
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scientific article; zbMATH DE number 5697270
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Accurate closed-form approximation for pricing Asian and basket options |
scientific article; zbMATH DE number 5697270 |
Statements
Accurate closed-form approximation for pricing Asian and basket options (English)
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22 April 2010
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log-extended-skew-normal distribution
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Asian option
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basket option
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0.90983856
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0.90660465
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0.9048942
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0.90125376
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0.8996382
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0.8967253
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0.8909519
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0.8900585
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