References

• 1988Theory of Financial Decision Making.1,870 cited
• 1990A pricing method for options based on average asset values628 cited
• 2008Mathematical Models of Financial Derivatives567 cited
• 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
• 1995The value of an Asian option532 cited
• 2001A new PDE approach for pricing arithmetic average Asian options266 cited
• 2004Spectral Expansions for Asian (Average Price) Options221 cited
• 1998Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods155 cited
• 2001SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS139 cited
• 2001A semi-analytical method for pricing and hedging continuously sampled arithmetic average rate options88 cited
• 2001Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach52 cited
• 2008Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls43 cited
• 2008An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation26 cited
• 2005Lie-algebraic approach for pricing moving barrier options with time-dependent parameters22 cited

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