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Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps

Crossref DOI link: https://doi.org/10.1016/j.jbankfin.2014.04.011

Published Print: 2014-07

Update policy: https://doi.org/10.1016/elsevier_cm_policy

Authors

Chung, Shing Fung

Wong, Hoi Ying
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This article is maintained by: Elsevier

Article Title: Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps

Journal Title: Journal of Banking & Finance

CrossRef DOI link to publisher maintained version: https://doi.org/10.1016/j.jbankfin.2014.04.011

Content Type: article

Copyright: Copyright © 2014 Elsevier B.V. All rights reserved.