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PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS - MaRDI portal

PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS (Q3005964)

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PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS
scientific article

    Statements

    title
    PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS (English)
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    author
    Mercuri Lorenzo
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    publication date
    10 June 2011
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    zbMATH Keywords
    Asian options
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    affine GARCH models
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    Fourier transform
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    semi-analytical valuation
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    Edgeworth series
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G70
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    62M10
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    zbMATH DE Number
    5906748
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    OpenAlex ID
    W2006165498
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