On the asymptotic behavior of the prices of Asian options
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Publication:2372254
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Cites work
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Bond, futures and option evaluation in the quadratic interest rate model
- Credit risk: Modelling, valuation and hedging
- Hazard rate for credit risk and hedging defaultable contingent claims
- scientific article; zbMATH DE number 1396448 (Why is no real title available?)
- Term Structures of Credit Spreads with Incomplete Accounting Information
Cited in
(10)- The Hartman-Watson distribution revisited: asymptotics for pricing Asian options
- Another look at the integral of exponential Brownian motion and the pricing of Asian options
- Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
- Pricing Asian options in a semimartingale model
- SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
- The value of an Asian option
- Lower and upper bounds for prices of Asian-type options
- Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
- Spectral Expansions for Asian (Average Price) Options
- An affine property of the reciprocal Asian option process
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