Effective and simple VWAP options pricing model
type: Item
instance of: scholarly article
zbMATH Open document ID: 1298.91157
DOI: 10.1142/S0219024914500368
published in: International Journal of Theoretical and Applied Finance
publication date: 2014-11-12T00:00:00Z
full work available at URL: https://arxiv.org/abs/1407.7315
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6368709
zbMATH Keywords: equity option
zbMATH Keywords: volume weighting
zbMATH Keywords: analytic pricing
MaRDI profile type: Publication
arXiv ID: 1407.7315
cites work: Dam rain and cumulative gain
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cites work: On-line VWAP Trading Strategies
cites work: Q4794126
cites work: Q4403557
cites work: Q3592129
cites work: The value of an Asian option
cites work: A MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTION
OpenAlex ID: W2029464660
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title: Effective and simple VWAP options pricing model
author: Alexander Buryak
author: Ivan Guo
description: scientific article; zbMATH DE number 6368709