The Valuation of Asian Options for Market Models of Exponential Levy Type
Details
State: Public
Version: author
Serval ID
serval:BIB_7BE5957CF85E
Type
Inproceedings: an article in a conference proceedings.
Collection
Publications
Institution
Title
The Valuation of Asian Options for Market Models of Exponential Levy Type
Title of the conference
Proceedings of the 2nd Actuarial and Financial Mathematics Day
Publisher
Royal Flemish Academy of Belgium for Arts and Sciences, Brussels
Publication state
Published
Issued date
2004
Peer-reviewed
Oui
Pages
11-20
Language
english
Abstract
We give a brief survey on some recent developments in pricing and hedging of European-style
arithmetic average options given that the underlying asset price process is of exponential Levy ´
type.
arithmetic average options given that the underlying asset price process is of exponential Levy ´
type.
Create date
12/05/2009 10:51
Last modification date
20/08/2019 14:37
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