Conditional moment matching for pricing arithmetic Asian options under Vasicek interest rate model
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Publication:6615089
DOI10.3969/j.issn.1001-4268.2024.03.002MaRDI QIDQ6615089
Publication date: 8 October 2024
Published in: Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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