A reliable numerical method to price arithmetic Asian options
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Cites work
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- A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
- An Introduction to Financial Option Valuation
- Complete Invariant Characterization of Scalar Linear (1+1) Parabolic Equations
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Cited in
(30)- Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with \(w\) sources of risk in fuzzy environment
- Efficient Monte Carlo option pricing under CEV model
- scientific article; zbMATH DE number 2175061 (Why is no real title available?)
- A robust numerical technique and its analysis for computing the price of an Asian option
- Pricing Asian options via compound gamma and orthogonal polynomials
- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
- An accurate binomial model for pricing American Asian option
- Efficient and accurate quadratic approximation methods for pricing Asian strike options
- Finite difference scheme with a moving mesh for pricing Asian options
- New pricing formula for arithmetic Asian options using PDE approach
- Numerical computation of an integral representation for arithmetic-average Asian options
- An alternating-direction implicit difference scheme for pricing Asian options
- PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
- Alternating-direction implicit upwind finite volume method for pricing Asian options
- scientific article; zbMATH DE number 1947439 (Why is no real title available?)
- A fast, accurate, and simple method for pricing European-Asian and saving-Asian options
- Analytical valuation for geometric Asian options in illiquid markets
- Comparative study of numerical algorithms for the arithmetic Asian option
- An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options
- Accurate closed-form approximation for pricing Asian and basket options
- A numerical study of Asian option with radial basis functions based finite differences method
- A fourth order numerical method based on B-spline functions for pricing Asian options
- IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
- An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options
- A new hybrid Monte Carlo simulation for Asian options pricing
- Asian rainbow option pricing formulas of uncertain stock model
- A hybrid finite difference scheme for pricing Asian options
- Efficient Spectral-Galerkin Method for Pricing Asian Options
- Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps
- Numerical pricing of geometric Asian options with barriers
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