The pricing of geometric average Asian options under the nonlinear Black-Scholes model

MaRDI QIDQ2993880zbMATH OpenFDO

Authors Zhiguang Li, Shugui Kang

Publication date 10 August 2016

zbMATH Keywords

error estimatesGreen functiongeometric average Asian optionsnonlinear Black-Scholes model

Mathematics Subject Classification ID

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

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