General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
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Publication:2806817
DOI10.1287/MOOR.2015.0739zbMATH Open1336.91074OpenAlexW3124457230MaRDI QIDQ2806817FDOQ2806817
Authors: Gianluca Fusai, Ioannis Kyriakou 
Publication date: 19 May 2016
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/13241/1/AsianBound_FK.pdf
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- General Lower Bounds for Arithmetic Asian Option Prices
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Fourier transformstochastic volatility modelsarithmetic Asian optionsdiscrete averageCEV diffusioncontinuous averageLévy processes
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Cited In (37)
- Bounds on prices for Asian options via Fourier methods
- An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting
- Spectral risk measure of holding stocks in the long run
- A general framework for pricing Asian options under stochastic volatility on parallel architectures
- A transform-based method for pricing Asian options under general two-dimensional models
- Markov additive processes for degradation with jumps under dynamic environments
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- Pricing Asian options with correlators
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
- Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
- Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
- A general control variate method for Lévy models in finance
- Pricing arithmetic Asian options under Lévy models by backward induction in the dual space
- A data-driven framework for consistent financial valuation and risk measurement
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing
- Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
- Moments of integrated exponential Lévy processes and applications to Asian options pricing
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
- A general framework for pricing Asian options under Markov processes
- Technical note -- On matrix exponential differentiation with application to weighted sum distributions
- Least-square-based control variate method for pricing options under general factor models
- Computable Error Bounds of Laplace Inversion for Pricing Asian Options
- Pricing Asian options with stochastic convenience yield and jumps
- Lower and upper bounds for prices of Asian-type options
- Asian options pricing in Hawkes-type jump-diffusion models
- Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
- General lattice methods for arithmetic Asian options
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
- Pricing average and spread options under local-stochastic volatility jump-diffusion models
- Asian rainbow option pricing formulas of uncertain stock model
- A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Additive normal tempered stable processes for equity derivatives and power-law scaling
- Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
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