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Bounds for in-progress floating-strike Asian options using symmetry · Study

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ArticleBounds for in-progress floating-strike Asian options using symmetry

Vicky Henderson2006

Article2006

Bounds for in-progress floating-strike Asian options using symmetry

Vicky Henderson · David G. Hobson · William Thornton Shaw · Rafał M. Wojakowski

18 citations·0/0 files stored·Annals of Operations Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1988Theory of Financial Decision Making.1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES 1995The value of an Asian option 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding 2001Exponential Functionals of Brownian Motion and Related Processes 2001A new PDE approach for pricing arithmetic average Asian options 1996Quasi-Monte Carlo Methods in Numerical Finance 2004Spectral Expansions for Asian (Average Price) Options

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Year2006

Typearticle

Published2006-11-09

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10479-006-0122-8

openalex_workW2157264866

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