Work

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

Year: 2014

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2014.04.011

Authors: Shing Fung Chung, Hoi Ying Wong

Institution: Chinese University of Hong Kong

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2023933898

FWCI: 6.704

Cites: 24

Cited by: 26

Related to: 10