Locally risk minimizing pricing of Asian option in a semi-Markov modulated market-Reference-Cited by-同舟云学术

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Locally risk minimizing pricing of Asian option in a semi-Markov modulated market

Published:2024-01-08 Issue:2 Volume:42 Page:451-474
ISSN:0736-2994
Container-title:Stochastic Analysis and Applications
language:en
Short-container-title:Stochastic Analysis and Applications

Author:

Chatterjee Bihan¹,Goswami Anindya¹^ORCID,Overbeck Ludger²^ORCID

Affiliation:

1. Mathematics Department, IISER Pune, India

2. Justus-Liebig-Universität, Giessen, Germany

Funder

Department of Science and Technology, Ministry of Science and Technology, India

German Academic Exchange Service New Delhi

National Board for Higher Mathematics

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/07362994.2023.2295246

Reference35 articles.

1. The Pricing of Options and Corporate Liabilities

2. Theory of Rational Option Pricing

3. Ingersoll, J. E. (1987). Theory of Financial Decision Making. Lanham, MD: Rowman and Littlefield.

4. Pricing Asian options with stochastic volatility

5. Pricing Asian options in a semimartingale model

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