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Fast narrow bounds on the value of Asian options
3 references·12 citing·49 second hop
Fast narrow bounds on the value of Asian options (2002)Fast narrow bounds on the value of Asian …The value of an Asian option (1995)The value of an Asian optionBESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…Pricing European average rate currency options (1992)Pricing European average rate…A fourth order numerical method based on B-spline functions for pricing Asian options (2020)A fourth order numerical meth…Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method (2017)Pricing and hedging guarantee…An Overview of Comonotonicity and Its Applications in Finance and Insurance (2011)An Overview of Comonotonicity…Pricing guaranteed minimum withdrawal benefits under stochastic interest rates (2010)Pricing guaranteed minimum wi…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…Accurate pricing formulas for Asian options (2007)Accurate pricing formulas for…PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS (2006)PRICING A CLASS OF EXOTIC OPT…Bounds for Asian basket options (2006)Bounds for Asian basket optio…Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance (2004)Pricing Rate of Return Guaran…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 …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)Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (1998)A new PDE approach for pricing arithmetic average Asian options (2001)Pricing Asian and basket options via Taylor expansion (2002)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Prices and sensitivities of Asian options: A survey (2007)An Efficient Transform Method for Asian Option Pricing (2016)Theory of Financial Decision Making. (1988)A pricing method for options based on average asset values (1990)The concept of comonotonicity in actuarial science and finance: applications (2002)Pricing and Hedging Spread Options (2003)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)Option pricing when underlying stock returns are discontinuous (1976)Financial Modelling with Jump Processes (2003)Stochastic differential equations and applications (2008)A New Spectral Element Method for Pricing European Options Under the Black–Scholes and Merton Jump Diffusion Models (2011)Approximations for Asian options in local volatility models (2012)Weakly Chained Matrices, Policy Iteration, and Impulse Control (2016)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Pricing Interest-Rate-Derivative Securities (1990)Partially exact and bounded approximations for arithmetic Asian options (2006)Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? (2017)The concept of comonotonicity in actuarial science and finance: theory (2002)Monte Carlo Methods in Financial Engineering (2003)Optimal approximations for risk measures of sums of lognormals based on conditional expectations (2007)Risk bounds for factor models (2017)A Quick Algorithm for Pricing European Average Options (1991)Martingale Methods in Financial Modelling (1997)Pricing exotic options with L-stable Padé schemes (2007)Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets (2019)An Introduction to Copulas (1999)Coherent Measures of Risk (1999)FIX: The Fear Index—Measuring Market Fear (2012)A new characterization of comonotonicity and its application in behavioral finance (2014)The multivariate Variance Gamma model: basket option pricing and calibration (2015)Theory of games and economic behavior (2019)Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochastic Calculus (2007)Application of Data Clustering and Machine Learning in Variable Annuity Valuation (2013)An optimal stochastic control framework for determining the cost of hedging of variable annuities (2014)Regression Modeling for the Valuation of Large Variable Annuity Portfolios (2016)
this work references cited by second hop

References

  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 1995The value of an Asian option532 cited
  • 1992Pricing European average rate currency options331 cited

Cited by

  • 2011An Overview of Comonotonicity and Its Applications in Finance and Insurance74 cited
  • 2003Pricing continuously sampled Asian options with perturbation method65 cited
  • 2010Pricing guaranteed minimum withdrawal benefits under stochastic interest rates64 cited
  • 2010PRICING ASIAN OPTIONS FOR JUMP DIFFUSION57 cited
  • 2006PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS56 cited
  • 2004Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance55 cited
  • 2006Bounds for Asian basket options43 cited
  • 2017Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method36 cited
  • 2004Pricing Asian options via Fourier and Laplace transforms35 cited
  • 2020A fourth order numerical method based on B-spline functions for pricing Asian options32 cited
  • 2007Accurate pricing formulas for Asian options29 cited
  • 2009A lattice algorithm for pricing moving average barrier options

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25 cited