Damiaan Lemmens
- Path integral approach to Asian options in the Black–Scholes model
2009/06/30 by Jeroen P. A. Devreese, D. Lemmens, Damiaan Lemmens +2 · 1 citation
Economics, Econometrics and Finance · Mathematics · #Applied mathematics #Asian option #Black–Scholes model #Complex Systems and Time Series Analysis #Computer science #Econometrics #Exotic option #Financial Risk and Volatility Modeling #Mathematical optimization #Mathematics #Monte Carlo method #Path (computing) #Path dependent #Path integral formulation #Physics #Set (abstract data type) #Statistics #Stochastic processes and financial applications #Valuation of options #Zero (linguistics) #q-fin.CP #q-fin.PR