Pricing for geometric average Asian options under time-dependent parameters

MaRDI QIDQ3501609zbMATH OpenFDO

Authors Xueqiao du, Mingxuan Shen

Publication date 3 June 2008

zbMATH Keywords

European options

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Pricing for geometric average Asian options with time-dependent parameters in the jump-diffusion process
• scientific article; zbMATH DE number 5005059
• Pricing formulas for geometric average Asian options under the fractional Vasicek rate model
• scientific article; zbMATH DE number 5027094
• Asymptotic approach to the pricing of geometric Asian options under the CEV model

Cited in

(11)

• Valuing vulnerable geometric Asian options
• Analytical valuation for geometric Asian options in illiquid markets
• Estimation of ask and bid prices for geometric Asian options
• Parametric solution for geometric pricing
• scientific article; zbMATH DE number 5005059 (Why is no real title available?)
• scientific article; zbMATH DE number 5670604 (Why is no real title available?)
• scientific article; zbMATH DE number 5283443 (Why is no real title available?)
• Pricing for geometric average Asian options with time-dependent parameters in the jump-diffusion process
• An analytical option pricing formula for mean-reverting asset with time-dependent parameter
• Pricing of geometric Asian options under Heston's stochastic volatility model
• scientific article; zbMATH DE number 5027094 (Why is no real title available?)

This page was built for publication: Pricing for geometric average Asian options under time-dependent parameters

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3501609)