scientific article; zbMATH DE number 7416501

zbMATH Open1472.91046MaRDI QIDQ5160304

Zhen Li, Hongkun Xu

Publication date: 28 October 2021

Full work available at URL: http://yokohamapublishers.jp/online2/opjnca/vol20/p307.html

Title of this publication is not available (Why is that?)

zbMATH Keywords

Taylor expansiongeometric Brownian motionrisk-neutral valuationBlack-Scholes-Merton modelfixed strikeAsian powered option

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options ⋮ Pricing arithmetic Asian options under hybrid stochastic and local volatility ⋮ On Arithmetic-Average Asian Power Options: Closed Forms and Explicit Methods for Valuation ⋮ Title not available (Why is that?)

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