A recursive pricing formula for a path dependent option under the constant elasticity of variance diffusion
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Year
: 2014DOI: 10.1016/j.spl.2014.07.004
Keyword(s): Stochastic differential equation,Constant elasticity of variance,Asymptotic expansion,Lookback option
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A recursive pricing formula for a path dependent option under the constant elasticity of variance diffusion
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| contributor author | Kim, Jeong - Park, Sang | |
| date accessioned | 2020-03-12T16:46:51Z | |
| date available | 2020-03-12T16:46:51Z | |
| date issued | 2014 | |
| identifier issn | 0167-7152 | |
| identifier other | 10.1016-j.spl.2014.07.004.pdf | |
| identifier uri | https://libsearch.um.ac.ir:443/fum/handle/fum/932950 | |
| format | general | |
| language | English | |
| publisher | Elsevier Science | |
| title | A recursive pricing formula for a path dependent option under the constant elasticity of variance diffusion | |
| type | Journal Paper | |
| contenttype | Metadata Only | |
| identifier padid | 7680440 | |
| subject keywords | Stochastic differential equation | |
| subject keywords | Constant elasticity of variance | |
| subject keywords | Asymptotic expansion | |
| subject keywords | Lookback option | |
| identifier doi | 10.1016/j.spl.2014.07.004 | |
| journal title | Statistics & Probability Letters | |
| journal volume | 94 | |
| journal issue | 0 | |
| filesize | 419245 | |
| citations | 0 |