Pricing Asian options with stochastic volatility (Q4647281): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1088/1469-7688/3/5/301
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+W2150066941
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+Alternative models for stock price dynamics.
@@ Property / cites work: Alternative models for stock price dynamics. / rank @@
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+Q2782356
@@ Property / cites work: Q2782356 / rank @@
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+Q4509488
@@ Property / cites work: Q4509488 / rank @@
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+MEAN-REVERTING STOCHASTIC VOLATILITY
@@ Property / cites work: MEAN-REVERTING STOCHASTIC VOLATILITY / rank @@
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+FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES
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+Singular Perturbations in Option Pricing
@@ Property / cites work: Singular Perturbations in Option Pricing / rank @@
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+Multiscale Stochastic Volatility Asymptotics
@@ Property / cites work: Multiscale Stochastic Volatility Asymptotics / rank @@
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+LOCAL SCALE INVARIANCE AND CONTINGENT CLAIM PRICING
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+LOCAL SCALE INVARIANCE AND CONTINGENT CLAIM PRICING II: PATH-DEPENDENT CONTINGENT CLAIMS
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+A new control variate estimator for an Asian option
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+Stochastic volatility as a simple generator of apparent financial power laws and long memory
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+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
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+Pricing Asian options in a semimartingale model
@@ Property / cites work: Pricing Asian options in a semimartingale model / rank @@
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