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A reliable numerical method to price arithmetic Asian options
16 references·1 citing·34 second hop
A reliable numerical method to price arithmetic Asian options (2012)A reliable numerical method to price arit…Stochastic Differential Equations—An Introduction With Applications (2006)Stochastic Differential Equat…A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion (2005)A Semi-Lagrangian Approach fo…The Concepts and Practice of Mathematical Finance (2004)The Concepts and Practice of …Stochastic calculus for finance (2004)Stochastic calculus for finan…Stochastic Calculus for Finance II (2004)Stochastic Calculus for Finan…Financial Derivatives in Theory and Practice (2004)Financial Derivatives in Theo…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…A semi-analytical method for pricing and hedging continuously sampled arithmetic average rate options (2001)A semi-analytical method for …A new PDE approach for pricing arithmetic average Asian options (2001)A new PDE approach for pricin…Robust numerical methods for PDE models of Asian options (1997)Robust numerical methods for …PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS (1996)PRICING OF AMERICAN PATH‐DEPE…The Mathematics of Financial Derivatives (1995)The Mathematics of Financial …A pricing method for options based on average asset values (1990)A pricing method for options …Theory of Financial Decision Making. (1988)Theory of Financial Decision …Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…A new hybrid Monte Carlo simulation for Asian options pricing (2013)A new hybrid Monte Carlo simu…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)Theory of Rational Option Pricing (1973)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)THE GARCH OPTION PRICING MODEL (1995)Monte Carlo methods for security pricing (1997)Theory of rational option pricing (2005)Survival Analysis Methods for Personal Loan Data (2002)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Interest Rates and Information Geometry (2001)Chaos and coherence: a new framework for interest–rate modelling (2004)Derivatives (2004)A Quick Algorithm for Pricing European Average Options (1991)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)The value of an Asian option (1995)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Solving elliptic boundary value problems with uncertain coefficients by the finite element method: the stochastic formulation (2004)An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations (2009)Optimization Methods in Finance (2006)Waiting for News in the Market for Lemons (2012)War Signals: A Theory of Trade, Trust, and Conflict (2013)A Liquidity-Based Theory of Closed-End Funds (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Numerical Solution of Stochastic Differential Equations (2016)
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  • 2001A semi-analytical method for pricing and hedging continuously sampled arithmetic average rate options

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  • 2013A new hybrid Monte Carlo simulation for Asian options pricing21 cited