Asian Options, Jump-Diffusion Processes on a Lattice, and Vandermonde Matrices
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Publication:3193137
DOI10.1007/978-3-319-06653-0_20zbMath1325.91053OpenAlexW1685678052MaRDI QIDQ3193137
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Publication date: 15 October 2015
Published in: EAA Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-06653-0_20
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Cites Work
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- Approximate option pricing
- An efficient convergent lattice algorithm for European Asian options
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- Inverses of Vandermonde Matrices
- Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Financial Modelling with Jump Processes
- The value of an Asian option
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
- Option pricing: A simplified approach
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