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Pricing and hedging of arithmetic Asian options via the Edgeworth series expansion approach
16 references·0 citing·34 second hop
Pricing and hedging of arithmetic Asian options via the Edgeworth series expansion approach (2016)Pricing and hedging of arithmetic Asian o…Mathematical Models of Financial Derivatives (2008)Mathematical Models of Financ…Stochastic Calculus for Finance II: Continuous-Time Models (2004)Stochastic Calculus for Finan…Spectral Expansions for Asian (Average Price) Options (2004)Spectral Expansions for Asian…Pricing Asian and basket options via Taylor expansion (2002)Pricing Asian and basket opti…A new PDE approach for pricing arithmetic average Asian options (2001)A new PDE approach for pricin…Laguerre Series for Asian and Other Options (2000)Laguerre Series for Asian and…Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (1998)Asian Options, the Sum of Log…A P.D.E. approach to Asian options: analytical and numerical evidence (1997)A P.D.E. approach to Asian op…The value of an Asian option (1995)The value of an Asian optionThe pricing of forward-starting asian options (1994)The pricing of forward-starti…BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…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 …Theory of Financial Decision Making. (1988)Theory of Financial Decision …Discretely adjusted option hedges (1980)Discretely adjusted option he…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Self-Annuitization and Ruin in Retirement (2000)Financial valuation of guaranteed minimum withdrawal benefits (2005)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)Theory of Rational Option Pricing (1973)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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The valuation of options for alternative stochastic processes (1976)Options: A Monte Carlo approach (1977)Pricing European average rate currency options (1992)Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Simulation and the Monte Carlo Method (2016)An experimental analysis of multi-attribute auctions (2000)PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES (2004)Convergence of Monte Carlo simulations involving the mean-reverting square root process (2005)The concept of comonotonicity in actuarial science and finance: applications (2002)Pricing and Hedging Spread Options (2003)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Option Pricing: Valuation Models and Applications (2004)A Liquidity-Based Theory of Closed-End Funds (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 2004Stochastic Calculus for Finance II: Continuous-Time Models1,104 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
  • 1991A Quick Algorithm for Pricing European Average Options424 cited
  • 2001A new PDE approach for pricing arithmetic average Asian options266 cited
  • 1998Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution264 cited
  • 2004Spectral Expansions for Asian (Average Price) Options221 cited
  • 1980Discretely adjusted option hedges194 cited
  • 2002Pricing Asian and basket options via Taylor expansion149 cited
  • 2000Laguerre Series for Asian and Other Options143 cited
  • 1997A P.D.E. approach to Asian options: analytical and numerical evidence85 cited
  • 1994The pricing of forward-starting asian options

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