Short maturity conditional Asian options in local volatility models (Q2175467): 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/10.1007/s11579-020-00257-y
+Normal rank
@@ Property / OpenAlex ID @@
+W2998821303
@@ Property / OpenAlex ID: W2998821303 / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q126319043
@@ Property / Wikidata QID: Q126319043 / rank @@
+Normal rank
@@ Property / cites work @@
+Application of large deviation methods to the pricing of index options in finance.
+Normal rank
@@ Property / cites work @@
+PRICING ASIAN OPTIONS FOR JUMP DIFFUSION
@@ Property / cites work: PRICING ASIAN OPTIONS FOR JUMP DIFFUSION / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotics and calibration of local volatility models
+Normal rank
@@ Property / cites work @@
+A General Framework for Pricing Asian Options Under Markov Processes
+Normal rank
@@ Property / cites work @@
+Numerical studies on asymptotics of European option under multiscale stochastic volatility
+Normal rank
@@ Property / cites work @@
+Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
+Normal rank
@@ Property / cites work @@
+Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
+Normal rank
@@ Property / cites work @@
+Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing
+Normal rank
@@ Property / cites work @@
+Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
+Normal rank
@@ Property / cites work @@
+Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
+Normal rank
@@ Property / cites work @@
+Q4391441
@@ Property / cites work: Q4391441 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric estimation for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
+Normal rank
@@ Property / cites work @@
+Q3195635
@@ Property / cites work: Q3195635 / rank @@
+Normal rank
@@ Property / cites work @@
+Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
+Normal rank
@@ Property / cites work @@
+The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
+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 @@
+Q4086524
@@ Property / cites work: Q4086524 / rank @@
+Normal rank
@@ Property / cites work @@
+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
+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 @@
+A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
+Normal rank
@@ Property / cites work @@
+Error analysis of finite difference and Markov chain approximations for option pricing
+Normal rank
@@ Property / cites work @@
+Spectral Expansions for Asian (Average Price) Options
+Normal rank
@@ Property / cites work @@
+Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
+Normal rank
@@ Property / cites work @@
+Short Maturity Forward Start Asian Options in Local Volatility Models
+Normal rank
@@ Property / cites work @@
+Discrete sums of geometric Brownian motions, annuities and Asian options
+Normal rank
@@ Property / cites work @@
+Short Maturity Asian Options in Local Volatility Models
+Normal rank
@@ Property / cites work @@
+Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
+Normal rank
@@ Property / cites work @@
+SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
@@ Property / cites work: SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+Diffusion processes in a small time interval
@@ Property / cites work: Diffusion processes in a small time interval / rank @@
+Normal rank
@@ Property / cites work @@
+Q3341599
@@ Property / cites work: Q3341599 / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviations
@@ Property / cites work: Large deviations / rank @@
+Normal rank
@@ Property / cites work @@
+BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS
@@ Property / cites work: BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS / rank @@
+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