Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes (Q1754191)
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scientific article; zbMATH DE number 6876617
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes |
scientific article; zbMATH DE number 6876617 |
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Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes (English)
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30 May 2018
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finance
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Asian option
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Markov process
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continuous-time Markov chain
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Laplace transform,
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0.9315992
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0.9106345
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0.8906833
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0.88147545
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