Approximations for Asian options in local volatility models
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Publication:455879
DOI10.1016/j.cam.2012.06.015zbMath1260.91100OpenAlexW3124048100MaRDI QIDQ455879
Stefano Pagliarani, Paolo Foschi, Andrea Pascucci
Publication date: 22 October 2012
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2012.06.015
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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