Arithmetic Asian options under stochastic delay models

DOI10.1080/1350486X.2011.567119MaRDI QIDQ2889598zbMATH OpenOpenAlexFDO

Authors Nairn McWilliams, Sotirios Sabanis

Publication date 8 June 2012

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486x.2011.567119

zbMATH Keywords

arithmetic Asian optionscomonotonicityderivative pricingstochastic delay differential equations

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Pricing Asian options in a stochastic volatility model with jumps
• A Delayed Black and Scholes Formula
• Pricing Asian options in a semimartingale model
• scientific article; zbMATH DE number 6531299
• scientific article; zbMATH DE number 2051964

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A Delayed Black and Scholes Formula
• An easy computable upper bound for the price of an arithmetic Asian option
• Bounds for the price of discrete arithmetic Asian options
• Complete Models with Stochastic Volatility
• General Lower Bounds for Arithmetic Asian Option Prices
• scientific article; zbMATH DE number 1253576 (Why is no real title available?)
• Optimal approximations for risk measures of sums of lognormals based on conditional expectations
• Probability with Martingales
• Static-arbitrage upper bounds for the prices of basket options
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• The pricing of options and corporate liabilities
• The value of an Asian option

Cited in

(8)

• Pricing arithmetic Asian options under hybrid stochastic and local volatility
• Tamed EM scheme of neutral stochastic differential delay equations
• The pricing of European options on two underlying assets with delays
• A note on Euler approximations for stochastic differential equations with delay
• Model-independent price bounds for catastrophic mortality bonds
• On tamed Euler approximations of SDEs driven by Lévy noise with applications to delay equations
• Delay geometric Brownian motion in financial option valuation
• Strong convergence of Euler approximations of stochastic differential equations with delay under local Lipschitz condition

This page was built for publication: Arithmetic Asian options under stochastic delay models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2889598)