SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL (Q4631699)
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scientific article; zbMATH DE number 7045987
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL |
scientific article; zbMATH DE number 7045987 |
Statements
SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL (English)
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18 April 2019
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Malliavin calculus
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Lévy process
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geometric Asian option
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Itô formula
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