Pages that link to "Item:Q5322002"
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The following pages link to Spectral Expansions for Asian (Average Price) Options (Q5322002):
Displaying 50 items.
- An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit (Q253095) (← links)
- Another look at the integral of exponential Brownian motion and the pricing of Asian options (Q331365) (← links)
- Monte Carlo computation of the Laplace transform of exponential Brownian functionals (Q370901) (← links)
- High-order approximation of Pearson diffusion processes (Q413731) (← links)
- Asian option as a fixed-point (Q721236) (← links)
- Prices and sensitivities of Asian options: A survey (Q939350) (← links)
- Pricing American Asian options with higher moments in the underlying distribution (Q953394) (← links)
- A lattice algorithm for pricing moving average barrier options (Q975929) (← links)
- Statistical inference for reciprocal gamma diffusion process (Q1036702) (← links)
- A general framework for time-changed Markov processes and applications (Q1622827) (← links)
- A unified approach for the pricing of options relating to averages (Q1627630) (← links)
- The spectral expansion approach to index transforms and connections with the theory of diffusion processes (Q1660060) (← links)
- Exponential functionals of Lévy processes and variable annuity guaranteed benefits (Q1713470) (← links)
- The pricing of Asian options in uncertain volatility model (Q1719127) (← links)
- Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits (Q1735033) (← links)
- Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes (Q1754191) (← links)
- Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval (Q1757249) (← links)
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options (Q2023956) (← links)
- Pricing of the geometric Asian options under a multifactor stochastic volatility model (Q2074887) (← links)
- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion (Q2150007) (← links)
- Short maturity conditional Asian options in local volatility models (Q2175467) (← links)
- On the evaluation of an integral involving the Whittaker \(W\) function (Q2199771) (← links)
- Green's functions and the Cauchy problem of the Burgers hierarchy and forced Burgers equation (Q2207420) (← links)
- On the distribution of the time-integral of the geometric Brownian motion (Q2237931) (← links)
- Pricing vulnerable claims in a Lévy-driven model (Q2255005) (← links)
- Spectral decomposition of optimal asset-liability management (Q2271663) (← links)
- Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate (Q2325143) (← links)
- Intrinsic expansions for averaged diffusion processes (Q2360242) (← links)
- An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach (Q2404186) (← links)
- Pricing average options under time-changed Lévy processes (Q2447509) (← links)
- Bounds for in-progress floating-strike Asian options using symmetry (Q2480218) (← links)
- On the product formula and convolution associated with the index Whittaker transform (Q2633774) (← links)
- Geometric Brownian motion with affine drift and its time-integral (Q2663830) (← links)
- A meshless method for Asian style options pricing under the Merton jump-diffusion model (Q2804502) (← links)
- Exact distribution of the Generalized Shiryaev–Roberts stopping time under the minimax Brownian motion setup (Q2805608) (← links)
- Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing (Q2806062) (← links)
- General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options (Q2806817) (← links)
- BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS (Q2875730) (← links)
- Essentially exact asymptotic solutions for Asian derivatives (Q2888863) (← links)
- Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation (Q2889595) (← links)
- Short Maturity Asian Options in Local Volatility Models (Q2953946) (← links)
- On the quasi-stationary distribution of the Shiryaev–Roberts diffusion (Q2986851) (← links)
- A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS (Q3067160) (← links)
- SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS (Q3067163) (← links)
- Statistical Inference for Student Diffusion Process (Q3068099) (← links)
- PRICING ASIAN OPTIONS FOR JUMP DIFFUSION (Q3069960) (← links)
- An improved convolution algorithm for discretely sampled Asian options (Q3169216) (← links)
- Pseudospectral methods for pricing options (Q3182746) (← links)
- Optimal importance sampling for the Laplace transform of exponential Brownian functionals (Q3188585) (← links)
