Static Hedging of Asian Options under Lévy Models
نویسندگان
چکیده
منابع مشابه
Asian Options Under One-Sided Lévy Models
We generalize, in terms of power series, the celebrated Geman-Yor formula for the pricing of Asian options in the framework of spectrally negative Lévy-driven assets. We illustrate our result by providing some new examples.
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ژورنال
عنوان ژورنال: The Journal of Derivatives
سال: 2005
ISSN: 1074-1240,2168-8524
DOI: 10.3905/jod.2005.479381