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Path integral approach to Asian options in the Black-Scholes model
Path integral Asian options Black-Scholes model
2010/11/1
We derive a closed-form solution for the price of an average price as well as an average strike
geometric Asian option, by making use of the path integral formulation. Our results are compared to a n...
Law of the exponential functional of one-sided Lévy processes and Asian options
L´ evy processes exponential functional special functions
2010/11/1
The purpose of this note is to describe, in terms of a power series, the distribution function
of the exponential functional, taken at some independent exponential time, of a spectrally negative L&ac...