PIDE and Solution Related to Pricing of Levy Driven Arithmetic Type Floating Asian Options Article

Chandra, Sudip Ratan, Mukherjee, Diganta, SenGupta, Indranil. (2015). PIDE and Solution Related to Pricing of Levy Driven Arithmetic Type Floating Asian Options . Stochastic Analysis and Applications, 33(4), 630-652. 10.1080/07362994.2015.1024855

International Collaboration

cited authors

  • Chandra, Sudip Ratan; Mukherjee, Diganta; SenGupta, Indranil

sustainable development goals

authors

publication date

  • July 4, 2015

published in

keywords

  • 91G20
  • 91G60
  • 91G70
  • 91G80
  • Asian option pricing
  • CONTINGENT CLAIMS
  • Calibration
  • DERIVATIVES
  • Equivalent Martingale measure
  • Levy Process
  • Mathematics
  • Mathematics, Applied
  • Partial Integro-differential equations (PIDE)
  • Physical Sciences
  • Science & Technology
  • Statistics & Probability
  • VALUATION

Digital Object Identifier (DOI)

start page

  • 630

end page

  • 652

volume

  • 33

issue

  • 4