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)

Full work available at URL https://doi.org/10.1016/J.CAM.2025.117264

zbMATH Keywords

Asian optionsconditional distributionsderivativesLaplace transformsmoment based approximationsnested-conditional factorization

Mathematics Subject Classification ID

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

Cites work

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