Asian and Australian options: a common perspective
From MaRDI portal
Publication:1994236
DOI10.1016/j.jedc.2013.01.006zbMath1402.91772OpenAlexW3124966836MaRDI QIDQ1994236
Christian-Oliver Ewald, Sai Hung Marten Ting, Olaf Menkens
Publication date: 1 November 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://doras.dcu.ie/18088/1/Australians_and_Asians_JEDC_April_2013.pdf
Related Items
Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion, Jumps and stochastic volatility in crude oil prices and advances in average option pricing, On increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic options, Asymptotic Solutions for Australian Options with Low Volatility, General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options, Asian options on the harmonic average
Cites Work
- Unnamed Item
- Unnamed Item
- Variable purchase options
- Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus
- On changes of measure in stochastic volatility models
- Prices and sensitivities of Asian options: A survey
- Small dimension PDE for discrete Asian options
- On the non-equilibrium density of geometric mean reversion
- A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion
- Higher-order implicit strong numerical schemes for stochastic differential equations
- An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
- BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS
- AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING
- Risk minimization in stochastic volatility models: model risk and empirical performance
- CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
- Convergence of discretized stochastic (interest rate) processes with stochastic drift term
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Pricing Asian options in a semimartingale model
- Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
- The value of an Asian option
- A comparison of biased simulation schemes for stochastic volatility models
- ADI finite difference schemes for option pricing in the Heston model with correlation
- Stochastic differential equations. An introduction with applications.