Mathematical modelling and analysis of Asian options with stochastic strike price

DOI10.1080/00036811.2010.538686zbMATH Open1279.91152OpenAlexW2072078425WikidataQ58279152 ScholiaQ58279152MaRDI QIDQ3225829FDOQ3225829

Authors: Ovidiu Calin, Bader Alshamary, Der-Chen Chang 

Publication date: 22 March 2012

Published in: Applicable Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00036811.2010.538686

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zbMATH Keywords

option pricingBrownian motionBlack-Scholes equationAsian optionstochastic integral

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cites Work

• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

Cited In (2)

• The heat kernel for Kolmogorov type operators and its applications
• The boundary value formulation of the Asian call option

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