CALCULATION OF ASIAN OPTIONS FOR THE BLACK–SCHOLES MODEL

DOI10.17223/19988621/51/5zbMath1506.91166OpenAlexW2803859335WikidataQ129784137 ScholiaQ129784137MaRDI QIDQ5042915

Alena Andreevna Shishkova

Publication date: 26 October 2022

Published in: Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mekhanika (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/vtgu628

zbMATH Keywords

Wiener processhedgingmartingalestochastic integraloption valuefinancial strategy

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

THE HEDGING STRATEGY FOR ASIAN OPTION ⋮ Hedging Problem for Asian Call Options with Transaction Costs

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Limit theorem for Leland's strategy
• Optimal consumption and investment for markets with random coefficients

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