A general framework for pricing Asian options under Markov processes
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Cites work
- A jump-diffusion model for option pricing
- Closed-form expansions of discretely monitored Asian options in diffusion models
- Continuously monitored barrier options under Markov processes
- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- Equivalence of floating and fixed strike Asian and lookback options
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- scientific article; zbMATH DE number 2237386 (Why is no real title available?)
- Lower and upper bounds for prices of Asian-type options
- Multidimensional transform inversion with applications to the transient \(M/G/1\) queue
- Option pricing when underlying stock returns are discontinuous
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Pricing Asian options under a hyper-exponential jump diffusion model
- Pricing discretely monitored Asian options by maturity randomization
- Pricing exotic derivatives exploiting structure
- Spectral Expansions for Asian (Average Price) Options
- The Fourier-series method for inverting transforms of probability distributions
Cited in
(73)- Evaluation of the Asian option by the dual martingale measure
- Asymptotic analysis of option pricing in a Markov modulated market
- A general framework for time-changed Markov processes and applications
- A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
- Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
- A general framework for pricing Asian options under stochastic volatility on parallel architectures
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- Pricing American drawdown options under Markov models
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
- Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks
- Maximum likelihood estimation of diffusions by continuous time Markov chain
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
- Analytical valuation for geometric Asian options in illiquid markets
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- Fourier based methods for the management of complex life insurance products
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Pricing discretely monitored Asian options by maturity randomization
- Financial applications of bivariate Markov processes
- A general valuation framework for SABR and stochastic local volatility models
- Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
- Sensitivities of Asian options in the Black-Scholes model
- Pricing Asian options in a semimartingale model
- Pricing Asian options of discretely monitored geometric average in the regime-switching model
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- On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
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- A transform-based method for pricing Asian options under general two-dimensional models
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- A general approach for Parisian stopping times under Markov processes
- A general method for analysis and valuation of drawdown risk
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- Risk-free rate caplets pricing by CTMC approximation
- Asian option as a fixed-point
- Pricing American Parisian options under general time-inhomogeneous Markov models
- Drawdowns, drawups, and occupation times under general Markov models
- Duality and transform analysis for non-decreasing functionals of stochastic processes and their applications
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