An analytical approximation for pricing VWAP options
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Cites work
- A chaos expansion approach under hybrid volatility models
- A MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTION
- AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES
- An extension of the chaos expansion approximation for the pricing of exotic basket options
- Does the Hurst index matter for option prices under fractional volatility?
- Effective and simple VWAP options pricing model
- Long memory in continuous-time stochastic volatility models
- Lower and upper bounds for prices of Asian-type options
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Pricing of volume-weighted average options: analytical approximations and numerical results
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