Non-Gaussian Closed Form Solutions for Geometric Average Asian Options in the Framework of Non-Extensive Statistical Mechanics
In this paper we consider pricing problems of the geometric average Asian options under a non-Gaussian model, in which the underlying stock price is driven by a process based on non-extensive statistical mechanics. The model can describe the peak and fat tail characteristics of returns. Thus, the de...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2018-01-01
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Series: | Entropy |
Subjects: | |
Online Access: | http://www.mdpi.com/1099-4300/20/1/71 |