Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
type: Item
instance of: scholarly article
title: Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
zbMATH Open document ID: 1403.91336
author: Chihoon Lee
author: Yanchu Liu
author: Zhenyu Cui
published in: European Journal of Operational Research
publication date: 2018-05-30T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6876617
zbMATH Keywords: finance
zbMATH Keywords: Asian option
zbMATH Keywords: Markov process
zbMATH Keywords: continuous-time Markov chain
zbMATH Keywords: Laplace transform,
MaRDI profile type: Publication
full work available at URL: j.ejor.2017.10.049
OpenAlex ID: W3124556755
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DOI: 10.1016/J.EJOR.2017.10.049
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description: scientific article; zbMATH DE number 6876617