Estimation of the bid-ask prices for the European discrete geometric average and arithmetic average Asian options

DOI10.1155/2021/9979285MaRDI QIDQ2045356zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 12 August 2021

Published in Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2021/9979285

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A Universal Framework for Pricing Financial and Insurance Risks
• Applied conic finance
• Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
• Estimation of ask and bid prices for geometric Asian options
• Implied liquidity risk premia in option markets
• Markets as a counterparty: an introduction to conic finance
• Stochastic Volatility for Lévy Processes
• Theory of capacities

Cited in

(2)

• Estimation of ask and bid prices for geometric Asian options
• scientific article; zbMATH DE number 5283443 (Why is no real title available?)

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