Asian options and meromorphic Lévy processes
نویسندگان
چکیده
منابع مشابه
Asian options and meromorphic Lévy processes
One method to compute the price of an arithmetic Asian option in a Lévy driven model is based on the exponential functional of the underlying Lévy process: If we know the distribution of the exponential functional, we can calculate the price of the Asian option via the inverse Laplace transform. In this paper we consider pricing Asian options in a model driven by a general meromorphic Lévy proc...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2014
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-014-0237-8