SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Prices and hedge ratios of average exchange rate options · Study

ArticleShelves

ArticlePrices and hedge ratios of average exchange rate options

Ton Vorst1992

Article1992

Prices and hedge ratios of average exchange rate options

106 citations·0/0 files stored·International Review of Financial Analysis

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Risk Management in Financial Firms

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 106 citations exist upstream.

References

1976Stochastic Differential Equations: Theory and Applications.1988Theory of Financial Decision Making.1976STOCHASTIC DIFFERENTIAL EQUATIONS: THEORY AND APPLICATIONS 1985Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES 1990A pricing method for options based on average asset values 1991A Quick Algorithm for Pricing European Average Options 1992Pricing European average rate currency options

Cited by

1995Equity-linked life insurance: A model with stochastic interest rates 2007Stochastic Volatilities and Correlations of Bond Yields 2005Static Hedging of Asian Options under Lévy Models 2002Fast Fourier transform for discrete Asian options 2009Volatility components: The term structure dynamics of VIX futures 2004

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2007Prices and sensitivities of Asian options: A surveyarticle · 5 shared references 1999A Refined Binomial Lattice for Pricing American Asian Optionsarticle · 5 shared references 2001A new PDE approach for pricing arithmetic average Asian optionsarticle · 4 shared references 2004Spectral Expansions for Asian (Average Price) Optionsarticle · 4 shared references 1997A P.D.E. approach to Asian options: analytical and numerical evidencearticle · 4 shared references 2000Analytical Valuation of American-Style Asian Optionsarticle · 4 shared references

Details

Year1992

Typearticle

Published1992-01-01

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations106

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/1057-5219(92)90003-m

openalex_workW1974400531

Links

Imported from OpenAlex (CC0) — nothing here is generated.

On Asian option pricing for NIG Lévy processes

2015General closed-form basket option pricing bounds

2006Partially exact and bounded approximations for arithmetic Asian options