Analytical approximation method of option pricing under geometric mean-reverting process
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Publication:3636742
option pricingTaylor series expansionanalytical approximationEdgeworth series expansiongeometric mean-reverting process
Computational methods for problems pertaining to probability theory (60-08) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)
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Cites work
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- Analytical valuation of American-style Asian options
- Investment under alternative return assumptions
- THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
- The Valuation of Path Dependent Contracts on the Average
Cited in
(4)- Optimal geometric mean returns of stocks and their options
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