Pricing American Asian options with higher moments in the underlying distribution (Q953394): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2008.01.012
+Normal rank
@@ Property / OpenAlex ID @@
+W2028631907
@@ Property / OpenAlex ID: W2028631907 / rank @@
+Normal rank
@@ Property / cites work @@
+PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo methods for security pricing
@@ Property / cites work: Monte Carlo methods for security pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Prices and sensitivities of Asian options: A survey
+Normal rank
@@ Property / cites work @@
+Estimating Security Price Derivatives Using Simulation
+Normal rank
@@ Property / cites work @@
+A refined binomial lattice for pricing American Asian options
+Normal rank
@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
+Normal rank
@@ Property / cites work @@
+Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
+Normal rank
@@ Property / cites work @@
+Efficient, exact algorithms for Asian options with multiresolution lattices
+Normal rank
@@ Property / cites work @@
+The concept of comonotonicity in actuarial science and finance: theory.
+Normal rank
@@ Property / cites work @@
+The concept of comonotonicity in actuarial science and finance: applications.
+Normal rank
@@ Property / cites work @@
+A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
+Normal rank
@@ Property / cites work @@
+Laguerre Series for Asian and Other Options
@@ Property / cites work: Laguerre Series for Asian and Other Options / rank @@
+Normal rank
@@ Property / cites work @@
+Applications of Malliavin calculus to Monte Carlo methods in finance
+Normal rank
@@ Property / cites work @@
+Applications of Malliavin calculus to Monte-Carlo methods in finance. II
+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 @@
+Path-Dependent Options: Extending the Monte Carlo Simulation Approach
+Normal rank
@@ Property / cites work @@
+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
+Normal rank
@@ Property / cites work @@
+Upper and lower bounds for sums of random variables
+Normal rank
@@ Property / cites work @@
+On the Convergence Rates of IPA and FDC Derivative Estimators
+Normal rank
@@ Property / cites work @@
+Spectral Expansions for Asian (Average Price) Options
+Normal rank
@@ Property / cites work @@
+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:953394