A unified approach for the pricing of options relating to averages
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Publication:1627630
DOI10.1007/s11147-017-9128-4zbMath1418.91512OpenAlexW2586314731MaRDI QIDQ1627630
Hideharu Funahashi, Masaaki Kijima
Publication date: 30 November 2018
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-017-9128-4
floating strikecontinuously sampledfixed strikeAustralian-Asian optiondiscretely sampledforward-startinggeneralized Asian optionin-progress
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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