Pricing Asian options of discretely monitored geometric average in the regime-switching model-Reference-Cited by-同舟云学术

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Pricing Asian options of discretely monitored geometric average in the regime-switching model

Published:2016-07-15 Issue:6 Volume:32 Page:743-752
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Kim Jerim¹,Yoo Hyun Joo²,Kim Tae-Wan²

Affiliation:

1. Department of Business Administration; Yong In University; Yongin-si Gyeonggi-do Korea

2. Department of Mathematics; Korea University; Seoul Korea

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Reference25 articles.

1. Spectral expansions for Asian (average price) options;Linetsky;Operations Research,2004

2. Bessel process, Asian options, and perpetuities;Geman;Mathematical Finance,1993

3. Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods;Fu;Journal of Computational Finance,1999

4. Beyond average intelligence;Curran;Risk,1992

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Variance swaps under the threshold Ornstein-Uhlenbeck model;Applied Stochastic Models in Business and Industry;2017-05-05

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