Moments of integrated exponential Lévy processes and applications to Asian options pricing
type: Item
instance of: scholarly article
title: Moments of integrated exponential Lévy processes and applications to Asian options pricing
zbMATH Open document ID: 1500.91132
DOI: 10.1080/14697688.2022.2070533
author: Riccardo Brignone
published in: Quantitative Finance
publication date: 2022-09-30T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 7595444
zbMATH Keywords: Asian options
zbMATH Keywords: exact simulation
zbMATH Keywords: Lévy processes
zbMATH Keywords: moment-based approximations
Wikidata QID: Q115549844
MaRDI profile type: MaRDI publication profile
full work available at URL: https://doi.org/10.1080/14697688.2022.2070533
OpenAlex ID: W4280533127
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description: scientific article; zbMATH DE number 7595444