A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion (Q466991)
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scientific article; zbMATH DE number 6363262
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| English | A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion |
scientific article; zbMATH DE number 6363262 |
Statements
A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion (English)
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3 November 2014
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path-dependent option
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recursive pricing formula
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stochastic differential equation
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constant elasticity
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variance diffusion
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asymptotic expansion
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lookback option
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0.89207387
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0.88860065
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0.8830491
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0.8796461
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0.8777985
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0.87652373
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0.87303424
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