One-state variable binomial models for European-/American-style geometric Asian options

DOI10.1088/1469-7688/3/4/305zbMath1405.91606OpenAlexW3124351624MaRDI QIDQ4647271

Min Dai

Publication date: 14 January 2019

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

Full work available at URL: https://doi.org/10.1088/1469-7688/3/4/305

zbMATH Keywords

American-style geometric Asian optionsEuropean-style geometric Asian optionsvariable binomial models

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion, Geometric Asian options: valuation and calibration with stochastic volatility

Cites Work

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