Accurate pricing formulas for Asian options
DOI10.1016/J.AMC.2006.11.032zbMATH Open1255.91396OpenAlexW2132868646MaRDI QIDQ2372053FDOQ2372053
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
Recommendations
option pricingapproximationgeometric Brownian motionlognormal distributionAsian optionfloating strikefixed strike
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)
Cites Work
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Title not available (Why is that?)
- The value of an Asian option
- Financial engineering and computation. Principles, mathematics, algorithms
- Quasi-Monte Carlo Methods in Numerical Finance
- Title not available (Why is that?)
- Convergence of numerical methods for valuing path-dependent options using interpolation
- On the equivalence of floating- and fixed-strike Asian options
Cited In (13)
- Transforming arithmetic Asian option PDE to the parabolic equation with constant coefficients
- Accurate closed-form approximation for pricing Asian and basket options
- A numerical study of Asian option with high-order compact finite difference scheme
- Efficient pricing of discrete Asian options
- Title not available (Why is that?)
- 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
- A numerical study of Asian option with radial basis functions based finite differences method
- Critical value-based Asian option pricing model for uncertain financial markets
- Lower and upper bounds for prices of Asian-type options
- A convergent quadratic-time lattice algorithm for pricing European-style Asian options
- A meshless method for Asian style options pricing under the Merton jump-diffusion model
- High-order compact finite difference scheme for pricing Asian option with moving boundary condition
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