USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS (Q5419642)
From MaRDI portal
scientific article; zbMATH DE number 6302684
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS |
scientific article; zbMATH DE number 6302684 |
Statements
USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS (English)
0 references
11 June 2014
0 references
Asian-style options
0 references
conditional expectation
0 references
control variates
0 references
stochastic clock
0 references
0 references
