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A semi-analytical method for pricing and hedging continuously sampled arithmetic average rate options
7 references·16 citing·40 second hop
A semi-analytical method for pricing and hedging continuously sampled arithmetic average rate options (2001)A semi-analytical method for pricing and …Theory of rational option pricing (2005)Theory of rational option pri…Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (1998)Asian Options, the Sum of Log…Robust numerical methods for PDE models of Asian options (1997)Robust numerical methods for …The value of an Asian option (1995)The value of an Asian optionPricing 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 …Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020)Efficient Asian option pricin…General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options (2016)General Optimized Lower and U…Numerical schemes for pricing Asian options under state-dependent regime-switching jump–diffusion models (2015)Numerical schemes for pricing…A numerical study of Asian option with radial basis functions based finite differences method (2014)A numerical study of Asian op…Weak approximation of averaged diffusion processes (2013)Weak approximation of average…Finite-Element Methods (2012)Finite-Element MethodsApproximations for Asian options in local volatility models (2012)Approximations for Asian opti…PRICING ASIAN OPTIONS FOR JUMP DIFFUSION (2010)PRICING ASIAN OPTIONS FOR JUM…A lattice algorithm for pricing moving average barrier options (2009)A lattice algorithm for prici…Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls (2008)Differential equations and as…Prices and sensitivities of Asian options: A survey (2007)Prices and sensitivities of A…Accurate pricing formulas for Asian options (2007)Accurate pricing formulas for…Pricing freight rate options (2006)Pricing freight rate optionsParallel Algorithm for Pricing American Asian Options with Multi-Dimensional Assets (2005)Parallel Algorithm for Pricin…Pricing Asian options via Fourier and Laplace transforms (2004)Pricing Asian options via Fou…Pricing continuously sampled Asian options with perturbation method (2003)Pricing continuously sampled …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)Managerial discretion and optimal financing policies (1990)Risk Management in Commodity Markets (2009)Trading volume and volatility in the shipping forward freight market (2012)Freight options: Price modelling and empirical analysis (2013)Self-Annuitization and Ruin in Retirement (2000)Spectral Expansions for Asian (Average Price) Options (2004)Financial valuation of guaranteed minimum withdrawal benefits (2005)Brownian Motion and Stochastic Calculus (2007)The Malliavin Calculus and Related Topics (1995)Monte Carlo methods for security pricing (1997)The Malliavin Calculus and Related Topics (2006)An Overview of Comonotonicity and Its Applications in Finance and Insurance (2011)Pricing Discretely Monitored Asian Options by Maturity Randomization (2011)Semi-Static Hedging for GMWB in Variable Annuities (2012)The valuation of options for alternative stochastic processes (1976)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Foreign currency option values (1983)A new PDE approach for pricing arithmetic average Asian options (2001)Pricing Asian and basket options via Taylor expansion (2002)Theory of Financial Decision Making. (1988)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)The concept of comonotonicity in actuarial science and finance: applications (2002)Pricing and Hedging Spread Options (2003)Theory of Rational Option Pricing (1973)Options: A Monte Carlo approach (1977)Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Simulation and the Monte Carlo Method (2016)Option pricing when underlying stock returns are discontinuous (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Financial Modelling with Jump Processes (2003)Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing (2019)A data-driven framework for consistent financial valuation and risk measurement (2020)Analytically pricing foreign exchange options under a three-factor stochastic volatility and interest rate model: A full correlation structure (2024)PDE methods for pricing barrier options (2000)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Option Pricing: Valuation Models and Applications (2004)
this work references cited by second hop

References

  • 2005Theory of rational option pricing7,161 cited
  • 1990A pricing method for options based on average asset values628 cited
  • 1995The value of an Asian option532 cited
  • 1991A Quick Algorithm for Pricing European Average Options424 cited
  • 1992Pricing European average rate currency options331 cited
  • 1998Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution264 cited
  • 1997Robust numerical methods for PDE models of Asian options217 cited

Cited by

  • 2020Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models71 cited
  • 2006Pricing freight rate options69 cited
  • 2007Prices and sensitivities of Asian options: A survey65 cited
  • 2003Pricing continuously sampled Asian options with perturbation method65 cited
  • 2016General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options59 cited
  • 2010PRICING ASIAN OPTIONS FOR JUMP DIFFUSION57 cited
  • 2012Finite-Element Methods46 cited
  • 2008Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls43 cited

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  • 2012Approximations for Asian options in local volatility models40 cited
  • 2004Pricing Asian options via Fourier and Laplace transforms35 cited
  • 2005Parallel Algorithm for Pricing American Asian Options with Multi-Dimensional Assets33 cited
  • 2007Accurate pricing formulas for Asian options29 cited
  • 2015Numerical schemes for pricing Asian options under state-dependent regime-switching jump–diffusion models29 cited
  • 2013Weak approximation of averaged diffusion processes26 cited
  • 2009A lattice algorithm for pricing moving average barrier options25 cited
  • 2014A numerical study of Asian option with radial basis functions based finite differences method22 cited