scientific article; zbMATH DE number 5283443

MaRDI QIDQ3500600zbMATH OpenFDO

Authors Zhengyuan Wei

Publication date 3 June 2008

zbMATH Keywords

Asian optionpricing for optionweight geometric average

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(7)

• Pricing Asian options on assets driven by a combined geometric Brownian motion and a geometric compound Poisson process
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• The pricing formula of the geometric Asian exchange option related with exchange rate
• Geometric Asian option pricing in general affine stochastic volatility models with jumps
• Pricing Asian option under mixed jump-fraction process
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• Pricing for geometric average Asian options with time-dependent parameters in the jump-diffusion process

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