SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL (Q4608115): Difference between revisions

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+MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS
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+A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion
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+Prices and sensitivities of Asian options: A survey
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+Estimating Security Price Derivatives Using Simulation
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+A General Framework for Pricing Asian Options Under Markov Processes
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+Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
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+The derivatives of Asian call option prices
@@ Property / cites work: The derivatives of Asian call option prices / rank @@
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+Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
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+Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
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+Q4391441
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+The integral of geometric Brownian motion
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+Q3369466
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+Robustness of the Black and Scholes Formula
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+Approximations for Asian options in local volatility models
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+Applications of Malliavin calculus to Monte Carlo methods in finance
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+BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
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+Q4433608
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+On the equivalence of floating- and fixed-strike Asian options
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+Spectral Expansions for Asian (Average Price) 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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+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
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+Bounds for the price of discrete arithmetic Asian options
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+Diffusion processes in a small time interval
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+Q4443503
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+On some exponential functionals of Brownian motion
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+https://doi.org/10.1142/s0219024918500085
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+W2793233807
@@ Property / OpenAlex ID: W2793233807 / rank @@
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