General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
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Publication:2806817
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Cites work
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- scientific article; zbMATH DE number 5181830 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A didactic note on affine stochastic volatility models
- A general framework for pricing Asian options under Markov processes
- An improved convolution algorithm for discretely sampled Asian options
- Asian and Australian options: a common perspective
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Changes of numéraire, changes of probability measure and option pricing
- Closed-form expansions of discretely monitored Asian options in diffusion models
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- Equivalence of floating and fixed strike Asian and lookback options
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Financial Modelling with Jump Processes
- Geometric Asian option pricing in general affine stochastic volatility models with jumps
- Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
- Lower and upper bounds for prices of Asian-type options
- Multidimensional transform inversion with applications to the transient \(M/G/1\) queue
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On the computer generation of random variables with a given characteristic function
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Pricing Asian options for jump diffusion
- Pricing Asian options in affine GARCH models
- Pricing Asian options under a hyper-exponential jump diffusion model
- Pricing average options under time-changed Lévy processes
- Pricing exotic derivatives exploiting structure
- Sensitivity estimates from characteristic functions
- Spectral Expansions for Asian (Average Price) Options
- Stochastic Volatility for Lévy Processes
- The Characteristic Function of a Conditional Statistic
- The moment generating function has its moments
- The square-root process and Asian options
- The value of an Asian option
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- Variance-Optimal Hedging in General Affine Stochastic Volatility Models
Cited in
(37)- Bounds on prices for Asian options via Fourier methods
- Spectral risk measure of holding stocks in the long run
- An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting
- 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
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- 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
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
- Moments of integrated exponential Lévy processes and applications to Asian options pricing
- A general framework for pricing Asian options under Markov processes
- Technical note -- On matrix exponential differentiation with application to weighted sum distributions
- Lower and upper bounds for prices of Asian-type options
- 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
- 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
- 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
- Pricing average and spread options under local-stochastic volatility jump-diffusion models
- 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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