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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
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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 ...
Asymptotics and Exact Pricing of Options on Variance
Asymptotics Exact Pricing Options
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2010/4/27
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...