Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models

DOI10.1287/moor.2013.0619zbMath1334.60118OpenAlexW2040191645MaRDI QIDQ5244869

Chao Shi, Ning Cai, Chenxu Li

Publication date: 31 March 2015

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/51d3c7efc11ec9bceebb1093469c34e615dfa5f1

zbMATH Keywords

diffusionsBlack-Scholes modelsmall-time expansionCEV modelCIR processdiscretely monitored Asian optionsBrennan-Schwartz process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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