Geometric Asian option pricing in general affine stochastic volatility models with jumps (Q4555113): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2245804097
@@ Property / OpenAlex ID: W2245804097 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.2514
@@ Property / arXiv ID: 1407.2514 / rank @@
+Normal rank
@@ Property / cites work @@
+On Asian option pricing for NIG Lévy processes
@@ Property / cites work: On Asian option pricing for NIG Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Some recent developments in stochastic volatility modelling
+Normal rank
@@ Property / cites work @@
+Post-'87 crash fears in the S\&P 500 futures option market
+Normal rank
@@ Property / cites work @@
+Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility for Lévy Processes
@@ Property / cites work: Stochastic Volatility for Lévy Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Variance swaps on time-changed Lévy processes
@@ Property / cites work: Variance swaps on time-changed Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+Geometric Asian options: valuation and calibration with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Affine processes and applications in finance
@@ Property / cites work: Affine processes and applications in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Q5799604
@@ Property / cites work: Q5799604 / rank @@
+Normal rank
@@ Property / cites work @@
+The integral of geometric Brownian motion
@@ Property / cites work: The integral of geometric Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Q3369466
@@ Property / cites work: Q3369466 / rank @@
+Normal rank
@@ Property / cites work @@
+On the duality principle in option pricing: semimartingale setting
+Normal rank
@@ Property / cites work @@
+Two singular diffusion problems
@@ Property / cites work: Two singular diffusion problems / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Asian options with stochastic volatility
@@ Property / cites work: Pricing Asian options with stochastic volatility / rank @@
+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 @@
+Weak approximation of averaged diffusion processes
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Variance-optimal hedging for processes with stationary independent increments
+Normal rank
@@ Property / cites work @@
+On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
+Normal rank
@@ Property / cites work @@
+On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
+Normal rank
@@ Property / cites work @@
+Q5493554
@@ Property / cites work: Q5493554 / rank @@
+Normal rank
@@ Property / cites work @@
+PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Exponential moments of affine processes
@@ Property / cites work: Exponential moments of affine processes / rank @@
+Normal rank
@@ Property / cites work @@
+On convexity of solutions of ordinary differential equations
+Normal rank
@@ Property / cites work @@
+Affine processes are regular
@@ Property / cites work: Affine processes are regular / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing of geometric Asian options under Heston's stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
+Normal rank
@@ Property / cites work @@
+Computation of copulas by Fourier methods
@@ Property / cites work: Computation of copulas by Fourier methods / rank @@
+Normal rank
@@ Property / cites work @@
+Q3151170
@@ Property / cites work: Q3151170 / rank @@
+Normal rank
@@ Property / cites work @@
+Riccati differential equations
@@ Property / cites work: Riccati differential equations / rank @@
+Normal rank
@@ Property / cites work @@
+Q4857337
@@ Property / cites work: Q4857337 / rank @@
+Normal rank
@@ Property / cites work @@
+On constructive complex analysis in finance: Explicit formulas for Asian options
+Normal rank
@@ Property / cites work @@
+An easy computable upper bound for the price of an arithmetic Asian option
+Normal rank
@@ Property / cites work @@
+Q3259158
@@ Property / cites work: Q3259158 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Asian options in a stochastic volatility model with jumps
+Normal rank
@@ Property / cites work @@
+Q3331506
@@ Property / cites work: Q3331506 / rank @@
+Normal rank
@@ Property / cites work @@
+Bounds for the price of discrete arithmetic Asian options
+Normal rank
@@ Property / cites work @@
+Pricing Asian options in a semimartingale model
@@ Property / cites work: Pricing Asian options in a semimartingale model / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal system, symmetry reductions and new closed form solutions for the geometric average Asian options
+Normal rank
@@ Property / cites work @@
+The Mathematics of Financial Derivatives
@@ Property / cites work: The Mathematics of Financial Derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
+Normal rank