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

zbMATH Open1349.91278MaRDI QIDQ2993880FDOQ2993880

Authors: Zhiguang Li, Shugui Kang 

Publication date: 10 August 2016

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zbMATH Keywords

error estimatesGreen functiongeometric average Asian optionsnonlinear Black-Scholes model

Mathematics Subject Classification ID

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

Cited In (8)

• Title not available (Why is that?)
• Barrier options' pricing under the nonlinear Black-Scholes model
• Arithmetic average Asian option pricing problem under the nonlinear Black-Scholes model
• Title not available (Why is that?)
• The pricing of step options under the nonlinear Black-Scholes model
• Pricing of geometric Asian options under Heston's stochastic volatility model
• Asymptotic approach to the pricing of geometric Asian options under the CEV model
• The pricing of Asian options in uncertain volatility model

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