Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
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Publication:2892214
DOI10.1287/opre.1110.1006zbMath1241.91111OpenAlexW2161600192MaRDI QIDQ2892214
Publication date: 18 June 2012
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/52af7110a5114dd1292ec80c4138e067715312c9
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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