Pricing Asian options via compound gamma and orthogonal polynomials

DOI10.1016/j.amc.2015.04.041zbMath1410.91477OpenAlexW315962824MaRDI QIDQ1659626

Hrayer Aprahamian, Bacel Maddah

Publication date: 22 August 2018

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2015.04.041

zbMATH Keywords

orthogonal polynomialsanalytical approximationAsian optionsexotic optionscompound gamma distribution

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Asian option pricing with orthogonal polynomials

Cites Work

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