A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion (Q466991)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion |
scientific article; zbMATH DE number 6363262
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion |
scientific article; zbMATH DE number 6363262 |
Statements
A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion (English)
0 references
3 November 2014
0 references
path-dependent option
0 references
recursive pricing formula
0 references
stochastic differential equation
0 references
constant elasticity
0 references
variance diffusion
0 references
asymptotic expansion
0 references
lookback option
0 references
0 references
0 references
0.88860065
0 references
0.8830491
0 references
0.8796461
0 references
0.8777985
0 references
0.87652373
0 references
0.87303424
0 references
