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Prices and sensitivities of Asian options: A survey
16 references·6 citing·33 second hop
Prices and sensitivities of Asian options: A survey (2007)Prices and sensitivities of Asian options…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…The concept of comonotonicity in actuarial science and finance: theory (2002)The concept of comonotonicity…The concept of comonotonicity in actuarial science and finance: applications (2002)The concept of comonotonicity…On Some Exponential Functionals of Brownian Motion (2001)On Some Exponential Functiona…A new PDE approach for pricing arithmetic average Asian options (2001)A new PDE approach for pricin…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…Estimating Security Price Derivatives Using Simulation (1996)Estimating Security Price Der…The value of an Asian option (1995)The value of an Asian optionThe Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Efficient Procedures for Valu…BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…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…A pricing method for options based on average asset values (1990)A pricing method for options …Proceedings of the 1987 winter simulation conference (1988)Proceedings of the 1987 winte…Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps (2014)Analytical pricing of discret…Semi-Static Hedging for GMWB in Variable Annuities (2012)Semi-Static Hedging for GMWB …A general control variate method for option pricing under Lévy processes (2012)A general control variate met…Pricing Discretely Monitored Asian Options by Maturity Randomization (2011)Pricing Discretely Monitored …An Overview of Comonotonicity and Its Applications in Finance and Insurance (2011)An Overview of Comonotonicity…A lattice algorithm for pricing moving average barrier options (2009)A lattice algorithm for prici…Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Pricing American-style securities using simulation (1997)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Measuring Market Risk (2005)Theory of Financial Decision Making. (1988)Pricing and Hedging Spread Options (2003)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)Continuous Martingales and Brownian Motion (1999)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Mathematical Methods for Financial Markets (2010)Options: A Monte Carlo approach (1977)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Quasi-Monte Carlo Methods in Numerical Finance (1996)A stochastic mesh method for pricing high-dimensional American options (2004)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Brownian Motion and Stochastic Calculus (2007)Stochastic differential equations and applications (2008)Numerical solution of stochastic differential equations (2016)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Constructing Uncertainty Sets for Robust Linear Optimization (2009)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)Verification and validation of simulation models (1995)Conceptual modelling for simulation Part I: definition and requirements (2007)Simulation Modeling and Analysis (2016)
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References

  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1988Proceedings of the 1987 winter simulation conference742 cited
  • 2002The concept of comonotonicity in actuarial science and finance: theory634 cited
  • 1990A pricing method for options based on average asset values628 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 1995The value of an Asian option532 cited
  • 1996Estimating Security Price Derivatives Using Simulation449 cited
  • 1991A Quick Algorithm for Pricing European Average Options424 cited
  • 2002The concept of comonotonicity in actuarial science and finance: applications398 cited
  • 1992Pricing European average rate currency options331 cited
  • 2001On Some Exponential Functionals of Brownian Motion290 cited
  • 1993Efficient Procedures for Valuing European and American Path-Dependent Options277 cited
  • 2001A new PDE approach for pricing arithmetic average Asian options

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266 cited

Cited by

  • 2011An Overview of Comonotonicity and Its Applications in Finance and Insurance74 cited
  • 2012Semi-Static Hedging for GMWB in Variable Annuities42 cited
  • 2011Pricing Discretely Monitored Asian Options by Maturity Randomization41 cited
  • 2012A general control variate method for option pricing under Lévy processes31 cited
  • 2014Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps26 cited
  • 2009A lattice algorithm for pricing moving average barrier options25 cited