𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Levy on Money in the Hands of a Debtor

Book ID
123778945
Publisher
School of Law, University of Virginia
Year
1908
Weight
99 KB
Volume
13
Category
Article
ISSN
1547-1357

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πŸ“œ SIMILAR VOLUMES

On approximating deep in-the-money Asian
On approximating deep in-the-money Asian options under exponential LΓ©vy processes
✍ Leonard Tchuindjo πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 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 LΓ©vy process as a weighted sum of European option