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Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus.
Zhaojun Yang
Christian-Oliver Ewald
Olaf Menkens
Published in:
Math. Methods Oper. Res. (2011)
Keyphrases
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option pricing
black scholes model
black scholes
optimal solution
financial markets
stock price
convertible bonds
decision analysis
hong kong
non stationary
double exponential
decision making
database
solution space
scheduling problem
payoff functions
information systems