scientific article; zbMATH DE number 6541196

zbMath1331.91177MaRDI QIDQ5745072

Hong-Kun Xu, Chin-Chun Lai

Publication date: 12 February 2016

Full work available at URL: http://www.yokohamapublishers.jp/online2/opjnca/vol16/p2067.html

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Taylor seriesvaluationAsian optionsgeometric Brownian motionarithmetic average

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

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