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Pricing of Asian-Type and Basket Options via Bounds - MaRDI portal

Pricing of Asian-Type and Basket Options via Bounds (Q2967982)

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English
Pricing of Asian-Type and Basket Options via Bounds
scientific article

    Statements

    title
    Pricing of Asian-Type and Basket Options via Bounds (English)
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    publication date
    9 March 2017
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    zbMATH Keywords
    Asian options
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    basket options
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    lower and upper bounds
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    volume-weighted average prices (VWAP)
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    Lévy processes
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G51
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    91G60
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    zbMATH DE Number
    6693310
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    arXiv ID
    1612.08767
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