Analytical valuation for geometric Asian options in illiquid markets

DOI10.1016/j.physa.2018.05.069zbMath1494.91159OpenAlexW2804925109MaRDI QIDQ2150932

Yong-Jun Liu, Wei-Guo Zhang, Zhe Li

Publication date: 30 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2018.05.069

zbMATH Keywords

option pricingMonte Carlo simulationpartial differential equationsAsian optionsmarket liquidity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (5)

Pricing equity warrants in Merton jump-diffusion model with credit risk ⋮ Bayesian statistical inference for European options with stock liquidity ⋮ An interest-rate model with jumps for uncertain financial markets ⋮ Numerical pricing of exchange option with stock liquidity under Bayesian statistical method ⋮ Variance and volatility swaps valuations with the stochastic liquidity risk

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