On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach (Q2274620)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach |
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On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach (English)
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1 October 2019
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portfolio choice
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American-style Asian option pricing
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stochastic interest rate
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optimal stochastic control
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geometric mean
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