On Arithmetic-Average Asian Power Options: Closed Forms and Explicit Methods for Valuation

DOI10.1093/QJMAM/HBS017zbMATH Open1291.91211OpenAlexW1990656870MaRDI QIDQ5169327

Michael Schröder

Publication date: 22 July 2014

Published in: The Quarterly Journal of Mechanics and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/qjmam/hbs017

zbMATH Keywords

inverse Laplace transformgeometric Brownian motion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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