SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL
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Publication:4631699
DOI10.1142/S0219024919500055zbMath1411.91563OpenAlexW2912391066MaRDI QIDQ4631699
Hossein Jafari, Ghazaleh Rahimi
Publication date: 18 April 2019
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024919500055
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
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