Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models

DOI10.1287/MOOR.2013.0619zbMath1334.60118OpenAlexW2040191645MaRDI QIDQ5244869

Chao Shi, Ning Cai, Chenxu Li

Publication date: 31 March 2015

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/51d3c7efc11ec9bceebb1093469c34e615dfa5f1

zbMATH Keywords

diffusionsBlack-Scholes modelsmall-time expansionCEV modelCIR processdiscretely monitored Asian optionsBrennan-Schwartz process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (23)

A unified approach for the pricing of options relating to averages ⋮ A General Framework for Pricing Asian Options Under Markov Processes ⋮ SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL ⋮ Stochastic integral representations of the extrema of time-homogeneous diffusion processes ⋮ Weak approximation of SDEs for tempered distributions and applications ⋮ MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum Distributions ⋮ Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion ⋮ Asymptotic expansion and estimates of Wiener functionals ⋮ A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance ⋮ Maximum likelihood estimation of latent Markov models using closed-form approximations ⋮ Computable Error Bounds of Laplace Inversion for Pricing Asian Options ⋮ Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms ⋮ Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes ⋮ General multilevel Monte Carlo methods for pricing discretely monitored Asian options ⋮ A closed-form expansion approach for pricing discretely monitored variance swaps ⋮ General lattice methods for arithmetic Asian options ⋮ General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options ⋮ Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models ⋮ Short Maturity Forward Start Asian Options in Local Volatility Models ⋮ AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS ⋮ Pricing and exercising American options: an asymptotic expansion approach

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