Double knock-out Asian barrier options which widen or contract as they approach maturity

DOI10.1080/14697680802392470zbMath1169.91335OpenAlexW1968393064WikidataQ60171469 ScholiaQ60171469MaRDI QIDQ3395741

S. Kazantzaki, Colin Atkinson

Publication date: 13 September 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22126

zbMATH Keywords

Asian optionsdifferential equation methodbarrier options

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items

Moments of integrated exponential Lévy processes and applications to Asian options pricing ⋮ Collocation boundary element method for the pricing of geometric Asian options

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