scientific article

zbMath1337.91097arXiv1505.06946MaRDI QIDQ3195635

Runhuan Feng, Hans W. Volkmer

Publication date: 20 October 2015

Full work available at URL: https://arxiv.org/abs/1505.06946

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

asymptotic expansionhedgingoption pricingoccupation timeAsian optionLaplace transform inversionLommel functionsintegral of geometric Brownian motionconditional Asian option

Mathematics Subject Classification ID

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

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