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Bounds for in-progress floating-strike Asian options using symmetry
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Bounds for in-progress floating-strike Asian options using symmetry (2006)Bounds for in-progress floating-strike As…Bounds for the price of discrete arithmetic Asian options (2005)Bounds for the price of discr…Spectral Expansions for Asian (Average Price) Options (2004)Spectral Expansions for Asian…Pricing Bounds on Asian Options (2003)Pricing Bounds on Asian Optio…On the equivalence of floating- and fixed-strike Asian options (2002)On the equivalence of floatin…On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options (2001)On certain Markov processes a…Exponential Functionals of Brownian Motion and Related Processes (2001)Exponential Functionals of Br…A new PDE approach for pricing arithmetic average Asian options (2001)A new PDE approach for pricin…Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods (1998)Pricing continuous Asian opti…Quasi-Monte Carlo Methods in Numerical Finance (1996)Quasi-Monte Carlo Methods in …The value of an Asian option (1995)The value of an Asian optionValuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price (1994)Valuing Asian and Portfolio O…The pricing of forward-starting asian options (1994)The pricing of forward-starti…The Valuation of Path Dependent Contracts on the Average (1993)The Valuation of Path Depende…BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)The Distribution of a Perpetu…Theory of Financial Decision Making. (1988)Theory of Financial Decision …On some exponential functionals of Brownian motion (1992)Laguerre Series for Asian and Other Options (2000)Exponential Functionals of Lévy Processes (2001)Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005)Exponential functionals of Lévy processes (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Conditional Skewness in Asset Pricing Tests (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)An Exact Bond Option Formula (1989)Pricing Asian and basket options via Taylor expansion (2002)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Option Pricing: Valuation Models and Applications (2004)Options: A Monte Carlo approach (1977)Dynamic Asset Pricing Theory. (1993)Monte Carlo methods for security pricing (1997)Pricing American-style securities using simulation (1997)Measuring Market Risk (2005)A pricing method for options based on average asset values (1990)Handbook of Brownian Motion — Facts and Formulae (1996)Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach (2003)A Theory of the Term Structure of Interest Rates (1985)072103 (E50, M20) Option pricing by Esscher transforms (1995)Continuous Martingales and Brownian Motion (1999)Spanning and derivative-security valuation (2000)Stochastic Differential Equations (1972)Stochastic Differential Equations: Theory and Applications. (1976)A survey and some generalizations of Bessel processes (2003)Stochastic Differential Equations (2006)Option pricing: Mathematical models and computation (1994)Pricing and Hedging Path-Dependent Options Under the CEV Process (2001)Option pricing by transform methods: extensions, unification and error control (2004)Brownian Motion and Stochastic Calculus (2007)The concept of comonotonicity in actuarial science and finance: applications (2002)The concept of comonotonicity in actuarial science and finance: theory (2002)Partial Differential Equations (2010)
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References

  • 1988Theory of Financial Decision Making.1,870 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 1995The value of an Asian option532 cited
  • 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding379 cited
  • 2001Exponential Functionals of Brownian Motion and Related Processes295 cited
  • 2001A new PDE approach for pricing arithmetic average Asian options266 cited
  • 1996Quasi-Monte Carlo Methods in Numerical Finance243 cited
  • 2004Spectral Expansions for Asian (Average Price) Options221 cited
  • 1994Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price203 cited
  • 1998Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods155 cited
  • 2003Pricing Bounds on Asian Options104 cited
  • 1993The Valuation of Path Dependent Contracts on the Average94 cited
  • 2001On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options77 cited
  • 2005Bounds for the price of discrete arithmetic Asian options66 cited
  • 1994The pricing of forward-starting asian options64 cited

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  • 2002On the equivalence of floating- and fixed-strike Asian options61 cited
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