𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Asian options and meromorphic Lévy processes

✍ Scribed by Hackmann, D.; Kuznetsov, A.


Book ID
125350823
Publisher
Springer-Verlag
Year
2014
Tongue
English
Weight
713 KB
Volume
18
Category
Article
ISSN
0949-2984

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


On approximating deep in-the-money Asian
✍ Leonard Tchuindjo 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 126 KB

## Abstract This note proposes a new approach of valuing deep in‐the‐money fixed strike and discretely monitoring arithmetic Asian options. This new approach prices Asian options whose underlying asset price evolves according to the exponential of a Lévy process as a weighted sum of European option

Pricing foreign equity options under Lév
✍ Shian-Chang Huang; Mao-Wei Hung 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 262 KB

This article investigates the valuation of a foreign equity option whose value depends on the exchange rate and foreign equity prices. Assuming that these underlying price processes are correlated and driven by a multidimensional Lévy process, a method suitable for solving the complex valuation prob