Asian rainbow option pricing formulas of uncertain stock model

DOI10.1007/s00500-021-05922-yzbMath1498.91439WikidataQ113904976 ScholiaQ113904976MaRDI QIDQ2100224

Rong Gao, Wei Wu, Jie Liu

Publication date: 21 November 2022

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-021-05922-y

zbMATH Keywords

option pricing; Asian option; uncertain differential equation; rainbow option

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

American rainbow option pricing formulae in uncertain environment, Proactive hedging European option pricing with a general logarithmic position strategy

Cites Work

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