搜索结果: 1-1 共查到“数学 discretely monitored Asian options”相关记录1条 . 查询时间(0.043 秒)
Closed-form expansions of discretely monitored asian options in diffusion models
discretely monitored Asian options the CEV model the CIR process the Black-Scholes model the Brennan and Schwartz process small-time expansion
2016/1/20
In this paper we propose a closed-form asymptotic expansion approach to pricing discretely monitored Asian options in general one-dimensional diffusion models. Our expansion is a small-time expansion ...