Estimation of the bid-ask prices for the European discrete geometric average and arithmetic average Asian options

DOI10.1155/2021/9979285zbMath1471.91578OpenAlexW3166823754MaRDI QIDQ2045356

Yanyan Li

Publication date: 12 August 2021

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2021/9979285

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
• Implied liquidity risk premia in option markets
• Estimation of ask and bid prices for geometric Asian options
• Theory of capacities
• MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
• Applied Conic Finance
• A Universal Framework for Pricing Financial and Insurance Risks
• Stochastic Volatility for Lévy Processes

This page was built for publication: Estimation of the bid-ask prices for the European discrete geometric average and arithmetic average Asian options