A MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTION
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Publication:3444866
DOI10.1142/S0219024907004068zbMath1291.91236MaRDI QIDQ3444866
Publication date: 5 June 2007
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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