An asymptotic expansion method for geometric Asian options pricing under the double Heston model
S Zhang, X Gao - Chaos, Solitons & Fractals, 2019 - Elsevier
The purpose of the paper is to provide an efficient method for the continuously monitored
geometric Asian options under the double Heston model. By introducing two small …
geometric Asian options under the double Heston model. By introducing two small …
[PDF][PDF] On the pricing of Asian options with geometric average of American type with stochastic interest rate: A stochastic optimal control approach
MTV Martınez-Palacios… - Journal of Dynamics …, 2019 - academia.edu
In this work, through stochastic optimal control in continuous time the optimal decision
making in consumption and investment is modeled by a rational economic agent …
making in consumption and investment is modeled by a rational economic agent …