Pricing Discretely Monitored Asian Options by Maturity Randomization.
Gianluca FusaiDaniele MarazzinaMarina MarenaPublished in: SIAM J. Financial Math. (2011)
Keyphrases
- option pricing
- black scholes model
- double exponential
- privacy preserving
- stock price
- hong kong
- black scholes
- mechanism design
- dynamic pricing
- convertible bonds
- privacy preserving association rule mining
- real option
- software process
- decision analysis
- e learning
- revenue management
- real time
- profit maximization
- database systems