Publié le : 2008-09-15
Classification:
Asian option,
derivatives of option prices,
geometric Brownian motion,
time integral,
91B28,
60J65,
60G99
@article{1222716945,
author = {Choi, Jungmin and Kim, Kyounghee},
title = {The derivatives of Asian call option prices},
journal = {Commun. Math. Sci.},
volume = {6},
number = {1},
year = {2008},
pages = { 557-568},
language = {en},
url = {http://dml.mathdoc.fr/item/1222716945}
}
Choi, Jungmin; Kim, Kyounghee. The derivatives of Asian call option prices. Commun. Math. Sci., Tome 6 (2008) no. 1, pp. 557-568. http://gdmltest.u-ga.fr/item/1222716945/