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Q3195635 - MaRDI portal

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    author
    Runhuan Feng
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    Hans W. Volkmer
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    publication date
    20 October 2015
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    zbMATH Keywords
    option pricing
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    hedging
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    conditional Asian option
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    Asian option
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    Laplace transform inversion
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    asymptotic expansion
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    integral of geometric Brownian motion
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    occupation time
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    Lommel functions
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    Identifiers

    zbMATH DE Number
    6496530
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    arXiv ID
    1505.06946
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