On the asymptotic behavior of the prices of Asian options

zbMath1283.91175MaRDI QIDQ2372254

Yuji Hishida, Kenji Yasutomi

Publication date: 25 July 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

zbMATH Keywords

asymptotic behaviorAsian option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Hazard rate for credit risk and hedging defaultable contingent claims
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Bond, futures and option evaluation in the quadratic interest rate model
• Credit risk: Modelling, valuation and hedging

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