Asian Options Under One-Sided Lévy Models. (30th January 2018)
- Record Type:
- Journal Article
- Title:
- Asian Options Under One-Sided Lévy Models. (30th January 2018)
- Main Title:
- Asian Options Under One-Sided Lévy Models
- Authors:
- Patie, P.
- Abstract:
- Abstract : We generalize, in terms of power series, the celebrated Geman-Yor formula for the pricing of Asian options in the framework of spectrally negative Lévy-driven assets. We illustrate our result by providing some new examples.
- Is Part Of:
- Journal of applied probability. Volume 50:Number 2(2013)
- Journal:
- Journal of applied probability
- Issue:
- Volume 50:Number 2(2013)
- Issue Display:
- Volume 50, Issue 2 (2013)
- Year:
- 2013
- Volume:
- 50
- Issue:
- 2
- Issue Sort Value:
- 2013-0050-0002-0000
- Page Start:
- 359
- Page End:
- 373
- Publication Date:
- 2018-01-30
- Subjects:
- Asian option, -- Lévy process, -- exponential functional, -- hypergeometric-type function
91G20, -- 60G51
519.2 - Journal URLs:
- https://www.cambridge.org/core/journals/journal-of-applied-probability ↗
- DOI:
- 10.1239/jap/1371648946 ↗
- Languages:
- English
- ISSNs:
- 0021-9002
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 14636.xml