Bounds for in-progress floating-strike Asian options using symmetry (Q2480218): Difference between revisions

@@ Property / author @@
-William T. Shaw
@@ Property / author: William T. Shaw / rank @@
-Normal rank
@@ Property / author @@
-Rafał Wojakowski
@@ Property / author: Rafał Wojakowski / rank @@
-Normal rank
@@ Property / author @@
+William T. Shaw
@@ Property / author: William T. Shaw / rank @@
+Normal rank
@@ Property / author @@
+Rafał Wojakowski
@@ Property / author: Rafał Wojakowski / rank @@
+Normal rank
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+MersenneTwister
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+MaRDI publication profile
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+https://doi.org/10.1007/s10479-006-0122-8
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+W2157264866
@@ Property / OpenAlex ID: W2157264866 / rank @@
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@@ Property / cites work @@
+Quasi-Monte Carlo Methods in Numerical Finance
@@ Property / cites work: Quasi-Monte Carlo Methods in Numerical Finance / rank @@
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@@ Property / cites work @@
+Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
+Normal rank
@@ Property / cites work @@
+On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
+Normal rank
@@ Property / cites work @@
+The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
+Normal rank
@@ Property / cites work @@
+Equivalence of floating and fixed strike Asian and lookback options
+Normal rank
@@ Property / cites work @@
+BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
@@ Property / cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES / rank @@
+Normal rank
@@ Property / cites work @@
+On the equivalence of floating- and fixed-strike Asian options
+Normal rank
@@ Property / cites work @@
+Spectral Expansions for Asian (Average Price) Options
+Normal rank
@@ Property / cites work @@
+On the Valuation of Asian Options by Variational Methods
+Normal rank
@@ Property / cites work @@
+Mersenne twister
@@ Property / cites work: Mersenne twister / rank @@
+Normal rank
@@ Property / cites work @@
+The pricing of Asian options under stochastic interest rates
+Normal rank
@@ Property / cites work @@
+The Valuation of Path Dependent Contracts on the Average
+Normal rank
@@ Property / cites work @@
+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
+Normal rank
@@ Property / cites work @@
+Bounds for the price of discrete arithmetic Asian options
+Normal rank
@@ Property / cites work @@
+Exponential functionals of Brownian motion and related processes
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2480218