Nested-conditional factorization approach to Asian options pricing

DOI10.1016/J.CAM.2025.117264MaRDI QIDQ6869519zbMATH OpenFDO

Authors Riccardo Brignone

Publication date 22 January 2026

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

conditional distributionsLaplace transformsderivativesAsian optionsnested-conditional factorizationmoment based approximations

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

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