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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Detalles Bibliográficos
Autores principales: Wang, Jixia, Zhang, Yameng
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2018
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7512391/
https://www.ncbi.nlm.nih.gov/pubmed/33266552
http://dx.doi.org/10.3390/e20110828

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7512391/
https://www.ncbi.nlm.nih.gov/pubmed/33266552
http://dx.doi.org/10.3390/e20110828

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