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Asian Option Pricing with Orthogonal Polynomials
16 references·0 citing·36 second hopsampled
Asian Option Pricing with Orthogonal Polynomials (2018)Asian Option Pricing with Orthogonal Poly…Spectral Expansions for Asian (Average Price) Options (2004)Spectral Expansions for Asian…A new PDE approach for pricing arithmetic average Asian options (2001)A new PDE approach for pricin…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods (1998)Pricing continuous Asian opti…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 optionValuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price (1994)Valuing Asian and Portfolio O…BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…Pricing European average rate currency options (1992)Pricing European average rate…On some exponential functionals of Brownian motion (1992)On some exponential functiona…A Quick Algorithm for Pricing European Average Options (1991)A Quick Algorithm for Pricing…The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)The Distribution of a Perpetu…A pricing method for options based on average asset values (1990)A pricing method for options …Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Optimal Portfolio Choice under Loss Aversion (2004)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Foreign currency option values (1983)Pricing Asian and basket options via Taylor expansion (2002)Theory of Financial Decision Making. (1988)The concept of comonotonicity in actuarial science and finance: applications (2002)Pricing and Hedging Spread Options (2003)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)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)Stochastic Differential Equations (1972)Stochastic Differential Equations: Theory and Applications. (1976)A survey and some generalizations of Bessel processes (2003)Exponential functionals of Lévy processes (2005)Stochastic Differential Equations (2006)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)Options: A Monte Carlo approach (1977)Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Simulation and the Monte Carlo Method (2016)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Brownian Motion and Stochastic Calculus (2007)Stochastic differential equations and applications (2008)Numerical solution of stochastic differential equations (2016)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Option Pricing: Valuation Models and Applications (2004)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1990A pricing method for options based on average asset values628 cited
  • 1982Approximate option valuation for arbitrary stochastic processes608 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 1995The value of an Asian option532 cited
  • 1991A Quick Algorithm for Pricing European Average Options424 cited
  • 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding379 cited
  • 1992Pricing European average rate currency options331 cited
  • 2001A new PDE approach for pricing arithmetic average Asian options266 cited
  • 1998Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution264 cited
  • 1992On some exponential functionals of Brownian motion259 cited
  • 2004Spectral Expansions for Asian (Average Price) Options221 cited
  • 1997Robust numerical methods for PDE models of Asian options217 cited
  • 1994Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price203 cited

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1998
Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods
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