PATH AVERAGED OPTION VALUE CRITERIA FOR SELECTING BETTER OPTIONS

DOI10.12941/jksiam.2016.20.163zbMath1346.91235OpenAlexW2488756042MaRDI QIDQ2817582

Seunggyu Lee, Yongho Choi, Myeonghyeon Kim, Young Rock Kim, Junseok Kim, Hyeju Son, Minhyun Yoo, Darae Jeong

Publication date: 1 September 2016

Published in: Journal of the Korea Society for Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.12941/jksiam.2016.20.163

zbMATH Keywords

European optionsBlack-Scholes equationspath-averaged option value

Mathematics Subject Classification ID

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

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