Approximate valuation of average options
type: Item
instance of: scholarly article
title: Approximate valuation of average options
zbMATH Open document ID: 0785.90022
DOI: 10.1007/BF02282045
author: Hideki Iwaki
author: Masaaki Kijima
author: Toshihiro Yoshida
published in: Annals of Operations Research
publication date: 1994-04-13T00:00:00Z
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 91B62
zbMATH DE Number: 490516
zbMATH Keywords: Black-Scholes equation
zbMATH Keywords: average options of European type
zbMATH Keywords: continuous average call option price
zbMATH Keywords: approximations
zbMATH Keywords: theoretical upper and lower bounds
MaRDI profile type: Publication
cites work: The pricing of options and corporate liabilities
cites work: Option pricing: A simplified approach
cites work: Q4001128
cites work: Q3321201
cites work: On some exponential functionals of Brownian motion
full work available at URL: https://doi.org/10.1007/bf02282045
OpenAlex ID: W2039450310
description: scientific article; zbMATH DE number 490516