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An accurate analytical approximation for the price of a European-style arithmetic Asian option
15 references·0 citing·28 second hop
An accurate analytical approximation for the price of a European-style arithmetic Asian option (2004)An accurate analytical approximation for …Modern Actuarial Risk Theory (2008)Modern Actuarial Risk TheoryBounds for the price of discrete arithmetic Asian options (2005)Bounds for the price of discr…The concept of comonotonicity in actuarial science and finance: theory (2002)The concept of comonotonicity…The concept of comonotonicity in actuarial science and finance: applications (2002)The concept of comonotonicity…Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (1998)Asian Options, the Sum of Log…Actuarial bridges to dynamic hedging and option pricing (1996)Actuarial bridges to dynamic …The value of an Asian option (1995)The value of an Asian optionOrdering of actuarial risks (1994)Ordering of actuarial risksPricing European average rate currency options (1992)Pricing European average rate…Effective actuarial methods (1990)Effective actuarial methodsA pricing method for options based on average asset values (1990)A pricing method for options …Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Option pricing: A simplified approach (1979)Option pricing: A simplified …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The valuation of options for alternative stochastic processes (1976)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Foreign currency option values (1983)A new PDE approach for pricing arithmetic average Asian options (2001)Pricing Asian and basket options via Taylor expansion (2002)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)Theory of Financial Decision Making. (1988)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)Pricing and Hedging Spread Options (2003)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Using copulae to bound the Value-at-Risk for functions of dependent risks (2003)Risk measures and comonotonicity (2006)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Financial valuation of guaranteed minimum withdrawal benefits (2005)Constructing Uncertainty Sets for Robust Linear Optimization (2009)A Quick Algorithm for Pricing European Average Options (1991)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2008Modern Actuarial Risk Theory661 cited
  • 2002The concept of comonotonicity in actuarial science and finance: theory634 cited
  • 1990A pricing method for options based on average asset values628 cited
  • 1995The value of an Asian option532 cited
  • 2002The concept of comonotonicity in actuarial science and finance: applications398 cited
  • 1992Pricing European average rate currency options331 cited
  • 1998Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution264 cited
  • 1990Effective actuarial methods192 cited
  • 1996Actuarial bridges to dynamic hedging and option pricing189 cited
  • 1994Ordering of actuarial risks180 cited
  • 2005Bounds for the price of discrete arithmetic Asian options66 cited

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