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Prices and sensitivities of Asian options: A survey · Study

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ArticlePrices and sensitivities of Asian options: A survey

Phelim P. Boyle2007

Article2007

Prices and sensitivities of Asian options: A survey

Phelim P. Boyle · Alexander Potapchik

65 citations·0/0 files stored·Insurance Mathematics and Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Probability and Risk Models

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References

2006The Malliavin Calculus and Related Topics 1995The Malliavin Calculus and Related Topics 1997Monte Carlo methods for security pricing 1988Proceedings of the 1987 winter simulation conference 2002The concept of comonotonicity in actuarial science and finance: theory 1990A pricing method for options based on average asset values 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES 1999Applications of Malliavin calculus to Monte Carlo methods in finance

Cited by

2011An Overview of Comonotonicity and Its Applications in Finance and Insurance 2012Semi-Static Hedging for GMWB in Variable Annuities 2011Pricing Discretely Monitored Asian Options by Maturity Randomization 2012A general control variate method for option pricing under Lévy processes

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2006Partially exact and bounded approximations for arithmetic Asian optionsarticle · 16 shared references 2004Pricing Asian options via Fourier and Laplace transformsarticle · 15 shared references 2012Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Modelarticle · 11 shared references 2005Bounds for the price of discrete arithmetic Asian optionsarticle · 10 shared references 2003Pricing continuously sampled Asian options with perturbation methodarticle · 10 shared references 2005Exotic options under Lévy models: An overviewarticle · 10 shared references

Details

Year2007

Typearticle

Published2007-02-17

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations65

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2007.02.003

openalex_workW2016564841

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