New pricing formula for arithmetic Asian options using PDE approach
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Publication:2908355
zbMATH Open1246.91127MaRDI QIDQ2908355FDOQ2908355
Authors: Zieneb Ali Elshegmani, Rokiah Rozita Ahmad, Roza Hazli Zakaria 
Publication date: 4 September 2012
Published in: Applied Mathematical Sciences (Ruse) (Search for Journal in Brave)
Full work available at URL: http://www.m-hikari.com/ams/ams-2011/ams-77-80-2011/index.html
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Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Cited In (9)
- Analytical solution for an arithmetic Asian option using Mellin transforms
- Transforming arithmetic Asian option PDE to the parabolic equation with constant coefficients
- Fourier transform of the continuous arithmetic Asian options PDE
- On Arithmetic-Average Asian Power Options: Closed Forms and Explicit Methods for Valuation
- On the modified arithmetic Asian option equation and its analytical solution
- PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- Laplace and Fourier transforms on arithmetic Asian options
- Partial differential equations for Asian option prices
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