The square-root process and Asian options
β Scribed by Dassios, Angelos; Nagaradjasarma, Jayalaxshmi
- Book ID
- 121418178
- Publisher
- Taylor and Francis Group
- Year
- 2006
- Tongue
- English
- Weight
- 240 KB
- Volume
- 6
- Category
- Article
- ISSN
- 1469-7688
No coin nor oath required. For personal study only.
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## Abstract This study derives approximate valuation formulas for basket options and Asian options under the jumpβdiffusion process. To obtain an approximation for options prices under the jumpβdiffusion process, we extend the Taylor expansion method developed by Ju N. (2002) under the diffusion pr
the Use Of Mathematical Models And Numerical Techniques In Finance Is A Growing Practice, And An Increasing Number Of Applied Mathematicians Are Working On Applications In Finance And Business. Numerical Methods In Finance Presents Some Exciting Developments Arising From The Combination Of Mathemati