A General Framework for Pricing Asian Options Under Markov Processes

DOI10.1287/opre.2015.1385zbMath1377.91156OpenAlexW3123088691MaRDI QIDQ3450459

Yingda Song, Ning Cai, Steven Kou

Publication date: 6 November 2015

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/0434d2a2316741e454bac6f82d4259714f75e03c

zbMATH Keywords

asset pricingprobabilityfinancestochastic model applications

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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