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Accurate closed-form approximation for pricing Asian and basket options - MaRDI portal

Accurate closed-form approximation for pricing Asian and basket options (Q3552634)

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Accurate closed-form approximation for pricing Asian and basket options
scientific article

    Statements

    title
    Accurate closed-form approximation for pricing Asian and basket options (English)
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    author
    Jinke Zhou
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    Xiaolu Wang
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    publication date
    22 April 2010
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    zbMATH Keywords
    log-extended-skew-normal distribution
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    Asian option
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    basket option
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G60
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    91G70
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    65C20
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    zbMATH DE Number
    5697270
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    OpenAlex ID
    W4233251734
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    DOI
    10.1002/ASMB.714
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