Open AccessPricing Asian power options under jump-fraction process
Author(s) -
Bin Peng,
Fei Peng
Publication year - 2012
Publication title -
journal of economics finance and administrative science/journal of economics, finance and administrative science
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 0.288
H-Index - 13
eISSN - 2218-0648
pISSN - 2077-1886
DOI - 10.1016/s2077-1886(12)70002-1
Subject(s) - exotic option , mathematics , control variates , monte carlo method , mathematical economics , valuation of options , economics , econometrics , statistics , hybrid monte carlo , markov chain monte carlo