An analytical approximation for pricing VWAP options (Q4555128)
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scientific article; zbMATH DE number 6981246
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | An analytical approximation for pricing VWAP options |
scientific article; zbMATH DE number 6981246 |
Statements
An analytical approximation for pricing VWAP options (English)
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19 November 2018
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average option
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VWAP option
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local volatility model
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mean-reverting process
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0.8951966166496277
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0.8864710330963135
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0.8805696368217468
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0.772371768951416
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0.7628141045570374
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