Asian rainbow option pricing formulas of uncertain stock model-Reference-Cited by-同舟云学术

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Asian rainbow option pricing formulas of uncertain stock model

Published:2021-06-07 Issue:14 Volume:25 Page:8849-8873
ISSN:1432-7643
Container-title:Soft Computing
language:en
Short-container-title:Soft Comput

Author:

Gao Rong,Wu Wei,Liu Jie

Funder

Natural Science Foundation of Hebei Province

Department of Education of Hebei Province

Social Science Foundation of Hebei Province

Publisher

Springer Science and Business Media LLC

Subject

Geometry and Topology,Theoretical Computer Science,Software

Link

https://link.springer.com/content/pdf/10.1007/s00500-021-05922-y.pdf

Reference31 articles.

1. Ahmadian D, Ballestra L (2020) Pricing geometric asian rainbow options under the mixed fractional brownian motion. Phys A Stat Mech Appl 555:124458

2. Black F, Scholes M (1973) The pricing of options and corporate liabilities. J Polit Econ 81(3):637–654

3. Bin P, Fei P (2009) Pricing rainbow asian options, Systems Engineering-Theory. Practice 29(11):76–83

4. Cox J, Ross S (1976) The valuation of options for alternative stochastic processes. J Financ Econ 3(1–2):145–166

5. Corsaro S, Kyriakou I, Marazzina D, Marino Z (2019) A general framework for pricing asian options under stochastic volatility on parallel architectures. Eur. J. Oper. Res. 272(3):1082–1095

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