Optimal system, symmetry reductions and new closed form solutions for the geometric average Asian options

DOI10.1016/j.amc.2013.10.021zbMath1354.91155OpenAlexW2064127868MaRDI QIDQ505796

Luping Wang, Deng-Shan Wang, Yan Jin, Zhi Guo Wang

Publication date: 26 January 2017

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2013.10.021

zbMATH Keywords

symmetry reductionclosed form solutionLie symmetryoptimal systemgeometric average Asian options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Geometric Asian option pricing in general affine stochastic volatility models with jumps

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