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Geometric Average Asian Option Pricing with Paying Dividend Yield under Non-Extensive Statistical Mechanics for Time-Varying Model †
This paper is dedicated to the study of the geometric average Asian call option pricing under non-extensive statistical mechanics for a time-varying coefficient diffusion model. We employed the non-extensive Tsallis entropy distribution, which can describe the leptokurtosis and fat-tail characterist...
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| Vydáno v: | Entropy (Basel) |
|---|---|
| Hlavní autoři: | , |
| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
MDPI
2018
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| Témata: | |
| On-line přístup: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7512391/ https://ncbi.nlm.nih.gov/pubmed/33266552 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.3390/e20110828 |
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