Short maturity conditional Asian options in local volatility models (Q2175467): Difference between revisions

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+Application of large deviation methods to the pricing of index options in finance.
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+PRICING ASIAN OPTIONS FOR JUMP DIFFUSION
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+Asymptotics and calibration of local volatility models
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+Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
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+Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing
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+Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
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+Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
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+Nonparametric estimation for stochastic volatility models
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+Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
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+The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
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+Pricing Asian options with stochastic volatility
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+Q4086524
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+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
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+BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
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+A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
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+Error analysis of finite difference and Markov chain approximations for option pricing
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+Spectral Expansions for Asian (Average Price) Options
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+Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
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+Short Maturity Forward Start Asian Options in Local Volatility Models
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+Discrete sums of geometric Brownian motions, annuities and Asian options
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+Short Maturity Asian Options in Local Volatility Models
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+Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
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+SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
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+Diffusion processes in a small time interval
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+Q3341599
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+Large deviations
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+BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS
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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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@@ links / mardi / name / links / mardi / name @@
+Publication:2175467