Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls

DOI10.1017/S095679250800750XzbMath1152.91502OpenAlexW2077993476MaRDI QIDQ3532293

J. N. Dewynne, William T. Shaw

Publication date: 3 November 2008

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s095679250800750x

Mathematics Subject Classification ID

Related Items (20)

Intrinsic expansions for averaged diffusion processes ⋮ THE VALUATION OF SELF-FUNDING INSTALMENT WARRANTS ⋮ Essentially exact asymptotic solutions for Asian derivatives ⋮ A unified approach for the pricing of options relating to averages ⋮ A backward Monte Carlo approach to exotic option pricing ⋮ Existence of a fundamental solution of partial differential equations associated to Asian options ⋮ MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS ⋮ Asymptotic Solutions for Australian Options with Low Volatility ⋮ A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition ⋮ Fourier transform of the continuous arithmetic Asian options PDE ⋮ Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space ⋮ Asian and Australian options: a common perspective ⋮ Pricing vulnerable claims in a Lévy-driven model ⋮ Transforming arithmetic Asian option PDE to the parabolic equation with constant coefficients ⋮ A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback ⋮ Optimal system of Lie group invariant solutions for the Asian option PDE ⋮ A meshless method for Asian style options pricing under the Merton jump-diffusion model ⋮ General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options ⋮ Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options ⋮ Displaced Diffusion as an Approximation of the Constant Elasticity of Variance

Cites Work

• Matched asymptotic expansions in financial engineering
• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• The Mathematics of Financial Derivatives
• The value of an Asian option
• Spectral Expansions for Asian (Average Price) Options
• Exponential functionals of Brownian motion and related processes

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