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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 ...
We consider the pricing of derivatives written on the discrete realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limi...