EFFECTIVE AND SIMPLE VWAP OPTIONS PRICING MODEL

DOI10.1142/S0219024914500368zbMath1298.91157arXiv1407.7315OpenAlexW2029464660MaRDI QIDQ2929372

No author found.

Publication date: 12 November 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.7315

zbMATH Keywords

volume weightingequity optionanalytic pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

An analytical approximation for pricing VWAP options ⋮ Pricing of Asian-Type and Basket Options via Bounds

Cites Work

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• A MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTION
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• The value of an Asian option
• On-line VWAP Trading Strategies
• Dam rain and cumulative gain

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