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Discrete Asian barrier options
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Discrete Asian barrier options (1999)Discrete Asian barrier optionsConditional Sampling for Barrier Option Pricing under the LT Method (2013)Conditional Sampling for Barr…Finite-Element Methods (2012)Finite-Element MethodsPricing bounds for discrete arithmetic Asian options under Lévy models (2010)Pricing bounds for discrete a…Numerical Methods and Volatility Models for Valuing Cliquet Options (2006)Numerical Methods and Volatil…Extending quadrature methods to value multi-asset and complex path dependent options (2006)Extending quadrature methods …A Dynamic Programming Procedure for Pricing American-Style Asian Options (2002)A Dynamic Programming Procedu…Valuation of segregated funds: shout options with maturity extensions (2001)Valuation of segregated funds…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Coherent Measures of Risk (1999)Option pricing: A simplified approach (1979)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A dynamic programming approach to price installment options (2004)CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS (2006)Dynamic Programming Approach for Valuing Options in the GARCH Model (2008)Conditioning on One-Step Survival for Barrier Option Simulations (2001)A general dimension reduction technique for derivative pricing (2006)Pricing and Hedging with Discontinuous Functions: Quasi–Monte Carlo Methods and Dimension Reduction (2012)Monte Carlo Methods in Financial Engineering (2003)Option pricing when underlying stock returns are discontinuous (1976)A Jump-Diffusion Model for Option Pricing (2002)Financial Modelling with Jump Processes (2003)Option pricing: Mathematical models and computation (1994)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Empirical Performance of Alternative Option Pricing Models (1997)Shout options: a framework for pricing contracts which can be modified by the investor (2001)Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals (2009)Application of Data Clustering and Machine Learning in Variable Annuity Valuation (2013)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES (2009)The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees (2013)
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Cited by

  • 2006Extending quadrature methods to value multi-asset and complex path dependent options51 cited
  • 2001Valuation of segregated funds: shout options with maturity extensions48 cited
  • 2012Finite-Element Methods46 cited
  • 2002A Dynamic Programming Procedure for Pricing American-Style Asian Options42 cited
  • 2006Numerical Methods and Volatility Models for Valuing Cliquet Options34 cited
  • 2010Pricing bounds for discrete arithmetic Asian options under Lévy models26 cited
  • 2013Conditional Sampling for Barrier Option Pricing under the LT Method26 cited

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