Arithmetic of option pricing

被引:0
|
作者
Koltisko, JD [1 ]
Merrill, C [1 ]
Hong, LD [1 ]
Beker, SA [1 ]
Anderson, DA [1 ]
机构
[1] BRIGHAM YOUNG UNIV,PROVO,UT 84602
来源
关键词
D O I
暂无
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:435 / 459
页数:25
相关论文
共 50 条
  • [1] An upwind difference method for pricing the arithmetic average Asian option
    Zhang, Tie
    Zhang, Shuhua
    DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS, 2005, 12 : 133 - 141
  • [2] Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps
    Mehrdoust, Farshid
    Saber, Naghmeh
    JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2015, 85 (18) : 3811 - 3819
  • [3] OPTION PRICING AND THE ARBITRAGE PRICING THEORY
    CHANG, JSK
    SHANKER, L
    JOURNAL OF FINANCIAL RESEARCH, 1987, 10 (01) : 1 - 16
  • [4] OPTION PRICING - REVIEW
    SMITH, CW
    JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) : 3 - 51
  • [5] Approximate option pricing
    Chalasani, P
    Jha, S
    Saias, I
    37TH ANNUAL SYMPOSIUM ON FOUNDATIONS OF COMPUTER SCIENCE, PROCEEDINGS, 1996, : 244 - 253
  • [6] Analytical Solutions of a Continuous Arithmetic Asian Model for Option Pricing using Projected Differential Transform Method
    Edeki, Sunday O.
    Ugbebor, Olabisi O.
    Ogundile, Paul O.
    ENGINEERING LETTERS, 2019, 27 (02) : 303 - 310
  • [7] Pricing Arithmetic Asian Put Option with Early Exercise Boundary under Jump-Diffusion Process
    Laham, M. F.
    Ibrahim, S. N. I.
    Kilicman, A.
    MALAYSIAN JOURNAL OF MATHEMATICAL SCIENCES, 2020, 14 (01): : 1 - 15
  • [8] Pricing of Arithmetic Average Asian Option by Combining Variance Reduction and Quasi-Monte Carlo Method
    Xu, Lingling
    Zhang, Hongjie
    Wang, Fu Lee
    MATHEMATICS, 2023, 11 (03)
  • [9] The Greek parameters of a continuous arithmetic Asian option pricing model via Laplace Adomian decomposition method
    Edeki, Sunday O.
    Motsepa, Tanki
    Khalique, Chaudry Masood
    Akinlabi, Grace O.
    OPEN PHYSICS, 2018, 16 (01): : 780 - 785
  • [10] Nonlinear Option Pricing
    Wang, Tai-Ho
    QUANTITATIVE FINANCE, 2015, 15 (01) : 19 - 21