New pricing formula for arithmetic Asian options using PDE approach

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

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Cited in

(9)

• Analytical solution for an arithmetic Asian option using Mellin transforms
• Laplace and Fourier transforms on arithmetic Asian options
• On Arithmetic-Average Asian Power Options: Closed Forms and Explicit Methods for Valuation
• Fourier transform of the continuous arithmetic Asian options PDE
• On the modified arithmetic Asian option equation and its analytical solution
• Partial differential equations for Asian option prices
• PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
• Transforming arithmetic Asian option PDE to the parabolic equation with constant coefficients
• Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls

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