Analytical approximation method of option pricing under geometric mean-reverting process

DOI10.1080/00207160902818783zbMath1163.91413OpenAlexW2105541253MaRDI QIDQ3636742

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Publication date: 29 June 2009

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160902818783

zbMATH Keywords

option pricinganalytical approximationTaylor series expansionEdgeworth series expansiongeometric mean-reverting process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for problems pertaining to probability theory (60-08) Derivative securities (option pricing, hedging, etc.) (91G20) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

Cites Work

• Unnamed Item
• Investment under alternative return assumptions
• Analytical Valuation of American-Style Asian Options
• THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
• The Valuation of Path Dependent Contracts on the Average

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