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Transforming Arithmetic Asian Option PDE to the Parabolic Equation with Constant Coefficients
Work
Year: 2011
Type: article
Abstract: Arithmetic Asian options are difficult to price and hedge, since at present, there is no closed‐form analytical solution to price them. Transforming the PDE of the arithmetic the Asian option to a hea... more
Source: International Journal of Mathematics and Mathematical Sciences
Authors Zieneb Ali Elshegmani, Rokiah Rozita Ahmad, Saiful Hafiza Jaaman, Roza Hazli Zakaria
Institutions National University of Malaysia, University of Malaya
Cites: 10
Cited by: 3
Related to: 10
FWCI: 0.293
Citation percentile (by year/subfield): 66.96
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $1,025