"Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion ..."

Ning Cai, Chenxu Li, Chao Shi (2014)

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DOI: 10.1287/MOOR.2013.0619

access: closed

type: Journal Article

metadata version: 2017-05-28

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Ning Cai, Chenxu Li, Chao Shi:
Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models. Math. Oper. Res. 39(3): 789-822 (2014)

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