Work

On the qualitative effect of volatility and duration on prices of Asian options

Year: 2008

Type: article

Source: Finance research letters

DOI: 10.1016/j.frl.2008.05.001

Authors: Peter Carr, Christian-Oliver Ewald, Yajun Xiao

Institutions: Courant Institute of Mathematical Sciences, New York University, University of St Andrews, Goethe University Frankfurt

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3124656569

FWCI: 7.573

Cites: 8

Cited by: 43

Related to: 10