Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

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

7 references·4 citing·41 second hop

FromToDepth

this work references cited by second hop

References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
2001A new PDE approach for pricing arithmetic average Asian options266 cited
1992On some exponential functionals of Brownian motion259 cited
1984Call options and the risk of underlying securities79 cited
2004Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options70 cited

Cited by

2016Short Maturity Asian Options in Local Volatility Models30 cited
2014Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps26 cited
2009A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion25 cited
2012A reliable numerical method to price arithmetic Asian options21 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work