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Approximated moment-matching dynamics for basket-options pricing
5 references·7 citing·36 second hop
Approximated moment-matching dynamics for basket-options pricing (2004)Approximated moment-matching dynamics for…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Options, Futures and Other Derivatives (2003)Options, Futures and Other De…A Closed-Form Approximation for Valuing Basket Options (1998)A Closed-Form Approximation f…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…Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products (2013)Optimal Dual Martingales, The…Pricing Multi-Asset Cross Currency Options (2012)Pricing Multi-Asset Cross Cur…The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing (2008)The Endogenous Price Dynamics…Distribution-free upper bounds for spread options and market-implied antimonotonicity gap (2008)Distribution-free upper bound…Static-arbitrage optimal subreplicating strategies for basket options (2005)Static-arbitrage optimal subr…Counterparty Credit Risk Modeling: Risk Management, Pricing and Regulation. (2005)Counterparty Credit Risk Mode…Bounds for the price of discrete arithmetic Asian options (2005)Bounds for the price of discr…The Pricing of Options and Corporate Liabilities (1973)Options and Efficiency (1976)The concept of comonotonicity in actuarial science and finance: theory (2002)Prices and sensitivities of Asian options: A survey (2007)On the duality principle in option pricing: semimartingale setting (2008)An Overview of Comonotonicity and Its Applications in Finance and Insurance (2011)The valuation of options for alternative stochastic processes (1976)Efficient Procedures for Valuing European and American Path-Dependent Options (1993)General closed-form basket option pricing bounds (2015)Prices of State-Contingent Claims Implicit in Option Prices (1978)The concept of comonotonicity in actuarial science and finance: applications (2002)Mathematical Models of Financial Derivatives (2008)Martingale optimal transport in the Skorokhod space (2015)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)Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels (1987)ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (2010)On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (2014)Asymptotic Expansion Approach in Finance (2015)Options: A Monte Carlo approach (1977)Simulation and the Monte Carlo Method (2016)The Economics of Welfare (1933)The Problem of Social Cost (1960)Markets in licenses and efficient pollution control programs (1972)On the Stochastic Properties of Carbon Futures Prices (2013)Regression methods for pricing complex American-style options (2001)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Monte Carlo valuation of American options (2002)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)
this work references cited by second hop

References

  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1991A Quick Algorithm for Pricing European Average Options424 cited
  • 1992Pricing European average rate currency options331 cited
  • 1998A Closed-Form Approximation for Valuing Basket Options116 cited

Cited by

  • 2005Bounds for the price of discrete arithmetic Asian options66 cited
  • 2005Static-arbitrage optimal subreplicating strategies for basket options56 cited
  • 2013Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products35 cited
  • 2008The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing33 cited
  • 2012Pricing Multi-Asset Cross Currency Options31 cited
  • 2005Counterparty Credit Risk Modeling: Risk Management, Pricing and Regulation.27 cited
  • 2008Distribution-free upper bounds for spread options and market-implied antimonotonicity gap26 cited

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