Asian and Australian options: a common perspective (Q1994236): Difference between revisions

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+A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion
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+Small dimension PDE for discrete Asian options
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+Prices and sensitivities of Asian options: A survey
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+Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
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+Convergence of discretized stochastic (interest rate) processes with stochastic drift term
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+Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
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+Q3160502
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+BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
@@ Property / cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES / rank @@
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+PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
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+Variable purchase options
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+An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
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+ADI finite difference schemes for option pricing in the Heston model with correlation
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+Higher-order implicit strong numerical schemes for stochastic differential equations
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+CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
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+A comparison of biased simulation schemes for stochastic volatility models
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+Risk minimization in stochastic volatility models: model risk and empirical performance
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+Stochastic differential equations. An introduction with applications.
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+The value of an Asian option
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+AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING
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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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+Q3561030
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+BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS
@@ Property / cites work: BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS / rank @@
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+On changes of measure in stochastic volatility models
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+On the non-equilibrium density of geometric mean reversion
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+Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus
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