A Note on Average Rate Options with Discrete Sampling

DOI10.1137/0155014zbMath0813.60072OpenAlexW1977926625MaRDI QIDQ4326887

Paul Wilmott, J. N. Dewynne

Publication date: 30 May 1995

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0155014

zbMATH Keywords

option pricingAsian optionsexotic optionsdiscrete samplingaverage rate financial options

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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