scholarly journals Non-Gaussian Closed Form Solutions for Geometric Average Asian Options in the Framework of Non-Extensive Statistical Mechanics

Entropy ◽  
2018 ◽  
Vol 20 (1) ◽  
pp. 71 ◽  
Author(s):  
Pan Zhao ◽  
Benda Zhou ◽  
Jixia Wang
Keyword(s):  
Statistical Mechanics ◽  
Closed Form ◽  
Asian Options ◽  
Closed Form Solutions ◽  
Geometric Average ◽  
Non Gaussian

scholarly journals Estimation of the Bid-Ask Prices for the European Discrete Geometric Average and Arithmetic Average Asian Options

2021 ◽  
Vol 2021 ◽  
pp. 1-11
Author(s):  
Xiankang Luo ◽  
Tao Chen
Keyword(s):  
Law Of One Price ◽  
Asian Options ◽  
European Options ◽  
Quantitative Finance ◽  
Arithmetic Average ◽  
Closed Form Solutions ◽  
Geometric Average ◽  
Conic Finance ◽  
The Law ◽  
Exciting Development

Conic finance is a new and exciting development in quantitative finance, which is widely applied to several topics in finance. The theory of conic finance extends the law of one price to the law of two prices, which yields closed forms for bid-ask prices of European options. In this paper, within the framework of conic finance, we derive effective, explicit, approximate formulas to estimate the bid-ask prices for the European discrete geometric average and arithmetic average Asian options. Finally, we give two examples to demonstrate and validate that the approximate closed-form solutions are efficient and accurate.

Closed Form Solutions of Joint Water-Filling for Coordinated Transmission

2010 ◽  
Vol E93-B (12) ◽  
pp. 3461-3468 ◽  
Author(s):  
Bing LUO ◽  
Qimei CUI ◽  
Hui WANG ◽  
Xiaofeng TAO ◽  
Ping ZHANG
Keyword(s):  
Closed Form ◽  
Closed Form Solutions ◽  
Water Filling
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