The pricing formulas of default geometric average Asian option with stochastic liabilities (Q5319129)
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scientific article; zbMATH DE number 5583638
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| English | The pricing formulas of default geometric average Asian option with stochastic liabilities |
scientific article; zbMATH DE number 5583638 |
Statements
22 July 2009
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geometric average
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Asian option
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option pricing
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stochastic liabilities
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martingale measure
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0.7798610925674438
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0.7703123688697815
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0.7609952092170715
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