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On the qualitative effect of volatility and duration on prices of Asian options · Study

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ArticleOn the qualitative effect of volatility and duration on prices of Asian options

Peter Carr2008

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Articlegreen2008

On the qualitative effect of volatility and duration on prices of Asian options

Peter Carr · Christian‐Oliver Ewald · Yajun Xiao

43 citations·0/0 files stored·Finance research letters

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES 1999Applications of Malliavin calculus to Monte Carlo methods in finance 2001A new PDE approach for pricing arithmetic average Asian options 1992On some exponential functionals of Brownian motion 1984Call options and the risk of underlying securities 2004Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options

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2016Short Maturity Asian Options in Local Volatility Models 2014Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps 2009A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion

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2018Asian Option Pricing with Orthogonal Polynomialsarticle · 5 shared references 2007Prices and sensitivities of Asian options: A surveyarticle · 4 shared references 2010ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. Iarticle · 4 shared references 2004Spectral Expansions for Asian (Average Price) Optionsarticle · 3 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 3 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 3 shared references

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Year2008

Typearticle

Published2008-05-21

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations43

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.frl.2008.05.001

openalex_workW3124656569

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