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Prices and hedge ratios of average exchange rate options
11 references·15 citing·38 second hop
Prices and hedge ratios of average exchange rate options (1992)Prices and hedge ratios of average exchan…On Some Exponential Functionals of Brownian Motion (2001)On Some Exponential Functiona…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 …Options Arbitrage in Imperfect Markets (1989)Options Arbitrage in Imperfec…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Nonparametric 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 (1985)Nonparametric Tests of Altern…Stochastic Differential Equations: Theory and Applications. (1976)Stochastic Differential Equat…STOCHASTIC DIFFERENTIAL EQUATIONS: THEORY AND APPLICATIONS (1976)STOCHASTIC DIFFERENTIAL EQUAT…STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …Analytical valuation for geometric Asian options in illiquid markets (2018)Analytical valuation for geom…General closed-form basket option pricing bounds (2015)General closed-form basket op…Volatility components: The term structure dynamics of VIX futures (2009)Volatility components: The te…General Lower Bounds for Arithmetic Asian Option Prices (2008)General Lower Bounds for Arit…Stochastic Volatilities and Correlations of Bond Yields (2007)Stochastic Volatilities and C…Accurate pricing formulas for Asian options (2007)Accurate pricing formulas for…Partially exact and bounded approximations for arithmetic Asian options (2006)Partially exact and bounded a…Static Hedging of Asian Options under Lévy Models (2005)Static Hedging of Asian Optio…Exotic options under Lévy models: An overview (2005)Exotic options under Lévy mod…On Asian option pricing for NIG Lévy processes (2004)On Asian option pricing for N…Geometric Asian options: valuation and calibration with stochastic volatility (2004)Geometric Asian options: valu…Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options (2003)Optimal Exercise Policies and…Fast Fourier transform for discrete Asian options (2002)Fast Fourier transform for di…On the Hedging Portfolio of Asian Options (1996)On the Hedging Portfolio of A…Equity-linked life insurance: A model with stochastic interest rates (1995)Equity-linked life insurance:…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)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 Rational Option Pricing (1973)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)The value of an Asian option (1995)Theory of rational option pricing (2005)Option pricing when underlying stock returns are discontinuous (1976)One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities (1993)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Risk-Neutral Skewness: Evidence from Stock Options (2002)Options: A Monte Carlo approach (1977)Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Simulation and the Monte Carlo Method (2016)Blocking When Service Is Required From Several Facilities Simultaneously (1985)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Continuous Time Structural Equation Modeling with R Package ctsem (2017)Stock market volatility and the information content of stock index options (1992)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)ARCH models as diffusion approximations (1990)A Model of Intertemporal Asset Prices Under Asymmetric Information (1993)Arbitrage possibilities in Bessel processes and their relations to local martingales (1995)
this work references cited by second hop

References

  • 1976Stochastic Differential Equations: Theory and Applications.2,351 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1976STOCHASTIC DIFFERENTIAL EQUATIONS: THEORY AND APPLICATIONS1,088 cited
  • 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, 1978646 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES642 cited
  • 1990A pricing method for options based on average asset values628 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
  • 1992On some exponential functionals of Brownian motion259 cited
  • 1989Options Arbitrage in Imperfect Markets177 cited

Cited by

  • 1995Equity-linked life insurance: A model with stochastic interest rates92 cited
  • 2007Stochastic Volatilities and Correlations of Bond Yields79 cited
  • 2005Static Hedging of Asian Options under Lévy Models73 cited
  • 2002Fast Fourier transform for discrete Asian options

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69 cited
  • 2009Volatility components: The term structure dynamics of VIX futures68 cited
  • 2004On Asian option pricing for NIG Lévy processes56 cited
  • 2015General closed-form basket option pricing bounds54 cited
  • 2006Partially exact and bounded approximations for arithmetic Asian options51 cited
  • 2008General Lower Bounds for Arithmetic Asian Option Prices47 cited
  • 2005Exotic options under Lévy models: An overview41 cited
  • 2004Geometric Asian options: valuation and calibration with stochastic volatility38 cited
  • 2003Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options31 cited
  • 1996On the Hedging Portfolio of Asian Options31 cited
  • 2007Accurate pricing formulas for Asian options29 cited
  • 2018Analytical valuation for geometric Asian options in illiquid markets28 cited