MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS (Q4584697): Difference between revisions

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+General Lower Bounds for Arithmetic Asian Option Prices
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+Option pricing with quadratic volatility: a revisit
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+General Freidlin-Wentzell large deviations and positive diffusions
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+Estimating Security Price Derivatives Using Simulation
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+Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
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+Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models
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+On Large Deviations for Small Noise Itô Processes
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+Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
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+The square-root process and Asian options
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+Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
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+Q4391441
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+Laguerre Series for Asian and Other Options
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+Pricing Asian options with stochastic volatility
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+Approximations for Asian options in local volatility models
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+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
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+THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION
@@ Property / cites work: THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION / rank @@
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+BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
@@ Property / cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES / rank @@
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+Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
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+Spectral Expansions for Asian (Average Price) Options
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+Intrinsic expansions for averaged diffusion processes
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+Short Maturity Asian Options in Local Volatility Models
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+SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL
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+The Valuation of Path Dependent Contracts on the Average
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+The value of an Asian option
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+HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
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+Pricing and hedging of long-term futures and forward contracts by a three-factor model
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+BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS
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+Implied Volatility from Local Volatility: A Path Integral Approach
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+W2964269391
@@ Property / OpenAlex ID: W2964269391 / rank @@
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+Q129778322
@@ Property / Wikidata QID: Q129778322 / rank @@
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