The discontinuous Galerkin method for discretely observed Asian options
Author:
Affiliation:
1. Department of Mathematics and Didactics of MathematicsTechnical University of Liberec Liberec Czech Republic
2. Department of FinanceVSB – Technical University of Ostrava Ostrava Czech Republic
Publisher
Wiley
Subject
General Engineering,General Mathematics
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/mma.6160
Reference43 articles.
1. The Pricing of Options and Corporate Liabilities
2. Theory of Rational Option Pricing
3. BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
4. Average intelligence;Levy E;Risk Magazine.,1992
5. Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution
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