Bounds for in-progress floating-strike Asian options using symmetry (Q2480218): Difference between revisions

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+https://doi.org/10.1007/s10479-006-0122-8
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+W2157264866
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+Quasi-Monte Carlo Methods in Numerical Finance
@@ Property / cites work: Quasi-Monte Carlo Methods in Numerical Finance / rank @@
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+Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
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+On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
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+The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
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+Equivalence of floating and fixed strike Asian and lookback options
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+BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
@@ Property / cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES / rank @@
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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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+On the Valuation of Asian Options by Variational Methods
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+Mersenne twister
@@ Property / cites work: Mersenne twister / rank @@
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+The pricing of Asian options under stochastic interest rates
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+The Valuation of Path Dependent Contracts on the Average
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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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+Exponential functionals of Brownian motion and related processes
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