Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results (Q4561946)
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scientific article; zbMATH DE number 6993406
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results |
scientific article; zbMATH DE number 6993406 |
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Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results (English)
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13 December 2018
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Asian option
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moment matching
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volume process
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geometric Lévy model
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