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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2018
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| 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 |