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Applied Mathematical Finance Volume 28, 2021 - Issue 6
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Research Article

On the Valuation of Discrete Asian Options in High Volatility Environments

Sascha Desmettrea Institute of Financial Mathematics and Applied Number Theory, Johannes Kepler University (JKU) Linz, Linz, AustriaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-2084-9496View further author information
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Jörg Wenzelb Department of Financial Mathematics, Fraunhofer Institute for Industrial Mathematics (ITWM), Kaiserslautern, GermanyORCID Iconhttps://orcid.org/0000-0002-9239-6000View further author information
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Pages 508-533 | Received 06 May 2021, Accepted 23 Jul 2022, Published online: 21 Aug 2022

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