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Variance Reduction for Asian Options under a General Model Framework
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2007Stochastic Simulation1,121 cited
  • 2003Lévy Processes in Finance793 cited
  • 1995Option pricing by Esscher transforms.651 cited
  • 1990A pricing method for options based on average asset values628 cited
  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
  • 2006Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes493 cited
  • 2001A Regime-Switching Model of Long-Term Stock Returns436 cited
  • 2005Option pricing and Esscher transform under regime switching419 cited
  • 1999The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures

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