Moments of integrated exponential Lévy processes and applications to Asian options pricing

DOI10.1080/14697688.2022.2070533zbMath1500.91132OpenAlexW4280533127WikidataQ115549844 ScholiaQ115549844MaRDI QIDQ5039631

Riccardo Brignone

Publication date: 30 September 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2070533

zbMATH Keywords

Lévy processesAsian optionsexact simulationmoment-based approximations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model

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