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A Refined Binomial Lattice for Pricing American Asian Options
11 references·0 citing·36 second hop
A Refined Binomial Lattice for Pricing American Asian Options (1999)A Refined Binomial Lattice for Pricing Am…On Some Exponential Functionals of Brownian Motion (2001)On Some Exponential Functiona…The value of an Asian option (1995)The value of an Asian optionThe Valuation of Path Dependent Contracts on the Average (1993)The Valuation of Path Depende…Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Efficient Procedures for Valu…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Pricing European average rate currency options (1992)Pricing European average rate…On some exponential functionals of Brownian motion (1992)On some exponential functiona…A Quick Algorithm for Pricing European Average Options (1991)A Quick Algorithm for Pricing…A pricing method for options based on average asset values (1990)A pricing method for options …Option pricing: A simplified approach (1979)Option pricing: A simplified …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)Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (1998)A new PDE approach for pricing arithmetic average Asian options (2001)Pricing Asian and basket options via Taylor expansion (2002)Continuous Martingales and Brownian Motion (1991)PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS (1996)Continuous Martingales and Brownian Motion (1999)Spectral Expansions for Asian (Average Price) Options (2004)Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005)Theory of Financial Decision Making. (1988)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)The concept of comonotonicity in actuarial science and finance: applications (2002)Pricing and Hedging Spread Options (2003)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)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)Options: A Monte Carlo approach (1977)Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Pricing Options under Generalized GARCH and Stochastic Volatility Processes (1999)Valuation of Commodity-Based Swing Options (2004)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)Simulation and the Monte Carlo Method (2016)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Arbitrage possibilities in Bessel processes and their relations to local martingales (1995)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1990A pricing method for options based on average asset values628 cited
  • 1995The value of an Asian option532 cited
  • 1991A Quick Algorithm for Pricing European Average Options424 cited
  • 1992Pricing European average rate currency options331 cited
  • 2001On Some Exponential Functionals of Brownian Motion290 cited
  • 1993Efficient Procedures for Valuing European and American Path-Dependent Options277 cited
  • 1992On some exponential functionals of Brownian motion259 cited
  • 1993The Valuation of Path Dependent Contracts on the Average94 cited

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