Accurate pricing formulas for Asian options

DOI10.1016/J.AMC.2006.11.032MaRDI QIDQ2372053zbMATHOpenAlexFDO

Authors Kuan-Wen Chen, Yuh-Dauh Lyuu

Publication date 10 July 2007

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL http://ntur.lib.ntu.edu.tw/bitstream/246246/154521/1/15.pdf

zbMATH Keywords

option pricingapproximationgeometric Brownian motionlognormal distributionAsian optionfloating strikefixed strike

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 206027 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Convergence of numerical methods for valuing path-dependent options using interpolation
• Financial engineering and computation. Principles, mathematics, algorithms
• On the equivalence of floating- and fixed-strike Asian options
• Quasi-Monte Carlo Methods in Numerical Finance
• The value of an Asian option

Cited in

(18)

• High-order compact finite difference scheme for pricing Asian option with moving boundary condition
• Lower and upper bounds for prices of Asian-type options
• A convergent quadratic-time lattice algorithm for pricing European-style Asian options
• Asian options with zero cost-of-carry: EEX options on freight and iron ore futures
• Efficient pricing of discrete Asian options
• Conditional moment matching for pricing arithmetic Asian options under Vasicek interest rate model
• An analytic formula for the price of an American-style Asian option of floating strike type
• Pricing forward-starting power Asian options with floating strike price
• Black-Scholes representation for Asian options
• Pricing Asian options via Taylor approximations
• Accurate closed-form approximation for pricing Asian and basket options
• A numerical study of Asian option with radial basis functions based finite differences method
• Transforming arithmetic Asian option PDE to the parabolic equation with constant coefficients
• Accurate pricing formulas for Asian options with jumps
• A meshless method for Asian style options pricing under the Merton jump-diffusion model
• scientific article; zbMATH DE number 6848491 (Why is no real title available?)
• A numerical study of Asian option with high-order compact finite difference scheme
• Critical value-based Asian option pricing model for uncertain financial markets

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