Arithmetic Asian Options under Stochastic Delay Models

DOI10.1080/1350486X.2011.567119zbMath1270.91097OpenAlexW2075963479MaRDI QIDQ2889598

Sotirios Sabanis, Nairn McWilliams

Publication date: 8 June 2012

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2011.567119

zbMATH Keywords

derivative pricingcomonotonicitystochastic delay differential equationsarithmetic Asian options

Mathematics Subject Classification ID

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

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Model-independent price bounds for catastrophic mortality bonds, A note on Euler approximations for stochastic differential equations with delay, Strong Convergence of Euler Approximations of Stochastic Differential Equations with Delay Under Local Lipschitz Condition, Tamed EM scheme of neutral stochastic differential delay equations, On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations

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