An actuarial approach to pricing of chooser options
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Publication:3501644
zbMATH Open1150.91349MaRDI QIDQ3501644FDOQ3501644
Authors: Xuehui Bi, Xueqiao du 
Publication date: 3 June 2008
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- scientific article; zbMATH DE number 7071390
- It's your choice: a unified approach to chooser options
- Pricing chooser options under Lévy jump-diffusion processes
- Actuarial approach to option pricing in a fractional Black-Scholes model with time-dependent volatility
- New method to option pricing for the general Black-Scholes model -- an actuarial approach
Cited In (5)
- It's your choice: a unified approach to chooser options
- Actuarial approach to option pricing in a fractional Black-Scholes model with time-dependent volatility
- Pricing chooser options under Lévy jump-diffusion processes
- Pricing and calibration of a chooser flexible cap
- Chooser options on various underlying options
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