The pricing formulas of default geometric average Asian option with stochastic liabilities

zbMATH Open1174.91504MaRDI QIDQ5319129FDOQ5319129

Authors: Sujuan Pan, Shiyin Li 

Publication date: 22 July 2009

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zbMATH Keywords

option pricingmartingale measureAsian optiongeometric averagestochastic liabilities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (1)

• Valuing vulnerable geometric Asian options

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