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AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS - MaRDI portal

AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS (Q3022037)

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AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS
scientific article

    Statements

    title
    AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS (English)
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    author
    Gianluca Fusai
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    Aldo Tagliani
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    publication date
    22 June 2005
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    zbMATH Keywords
    Maximum entropy
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    moment problem
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    exotic options
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    Laplace transform
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    numerical inversion
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    Edgeworth approximation
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    Identifiers

    zbMATH DE Number
    2177817
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    OpenAlex ID
    W2029749570
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