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Accurate approximations for European-style Asian options
8 references·3 citing·36 second hop
Accurate approximations for European-style Asian options (1998)Accurate approximations for European-styl…On Some Exponential Functionals of Brownian Motion (2001)On Some Exponential Functiona…The value of an Asian option (1995)The value of an Asian optionOption pricing: Mathematical models and computation (1994)Option pricing: Mathematical …BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…Pricing European average rate currency options (1992)Pricing European average rate…A Quick Algorithm for Pricing European Average Options (1991)A Quick Algorithm for Pricing…Option pricing: A simplified approach (1979)Option pricing: A simplified …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…General lattice methods for arithmetic Asian options (2019)General lattice methods for a…An adjusted binomial model for pricing Asian options (2006)An adjusted binomial model fo…Bounds for the price of a European-style Asian option in a binary tree model (2004)Bounds for the price of a Eur…Options, Futures, and Other Derivative Securities. (1990)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)A pricing method for options based on average asset values (1990)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)The concept of comonotonicity in actuarial science and finance: applications (2002)Pricing and Hedging Spread Options (2003)A Theory of the Term Structure of Interest Rates (1985)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Mathematical Methods for Financial Markets (2010)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)Theory of rational option pricing (2005)Options: A Monte Carlo approach (1977)Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Simulation and the Monte Carlo Method (2016)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Far Field Boundary Conditions for Black--Scholes Equations (2000)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)Accurate closed‐form approximation for pricing Asian and basket options (2008)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1994Option pricing: Mathematical models and computation805 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 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

Cited by

  • 2006An adjusted binomial model for pricing Asian options23 cited
  • 2004Bounds for the price of a European-style Asian option in a binary tree model22 cited
  • 2019General lattice methods for arithmetic Asian options20 cited

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