On constructive complex analysis in finance: Explicit formulas for Asian options
Asian optionsasymptotic expansions and series for Asian option valuationcomplex analytic methods and special functions in financehypergeometric and confluent hypergeometric functionsparabolic cylinder functions
Applications of hypergeometric functions (33C90) Numerical approximation and evaluation of special functions (33F05) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Laplace transform (44A10) Derivative securities (option pricing, hedging, etc.) (91G20)
- scientific article; zbMATH DE number 1642358
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
- Spectral Expansions for Asian (Average Price) Options
- A different approach for pricing Asian options
- A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
- Elementary Solutions for Certain Parabolic Partial Differential Equations
- Exponential functionals of Brownian motion and related processes
- scientific article; zbMATH DE number 994432 (Why is no real title available?)
- scientific article; zbMATH DE number 3425963 (Why is no real title available?)
- scientific article; zbMATH DE number 3117835 (Why is no real title available?)
- scientific article; zbMATH DE number 3172038 (Why is no real title available?)
- scientific article; zbMATH DE number 3460936 (Why is no real title available?)
- scientific article; zbMATH DE number 1255542 (Why is no real title available?)
- scientific article; zbMATH DE number 1138789 (Why is no real title available?)
- scientific article; zbMATH DE number 1547390 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- scientific article; zbMATH DE number 3083637 (Why is no real title available?)
- scientific article; zbMATH DE number 3107995 (Why is no real title available?)
- Laguerre series for Asian and other options
- LAGUERRE SERIES IN CONTINGENT CLAIM VALUATION, WITH APPLICATIONS TO ASIAN OPTIONS
- Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson
- Numerical and asymptotic aspects of parabolic cylinder functions
- Numerical Methods in Finance
- On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values
- On some exponential functionals of Brownian motion
- On the integral of geometric Brownian motion
- Parabolic Cylinder Functions: Examples of Error Bounds for Asymptotic Expansions
- Spectral Expansions for Asian (Average Price) Options
- The integral of geometric Brownian motion
- The value of an Asian option
- Uniform asymptotic expansions for Weber parabolic cylinder functions of large orders
- Uniform, Exponentially Improved, Asymptotic Expansions for the Confluent Hypergeometric Function and Other Integral Transforms
- Explicit expressions for the valuation and hedging of the arithmetic Asian option
- Numerical computation of an integral representation for arithmetic-average Asian options
- scientific article; zbMATH DE number 1642358 (Why is no real title available?)
- Geometric Asian option pricing in general affine stochastic volatility models with jumps
- Asian options under one-sided Lévy models
- On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
- Asian option pricing via Laguerre quadrature: a diffusion kernel approach
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