AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS
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Publication:3022037
DOI10.1142/S0219024902001389zbMath1138.91443OpenAlexW2029749570MaRDI QIDQ3022037
Publication date: 22 June 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024902001389
Laplace transformmoment problemnumerical inversionexotic optionsEdgeworth approximationMaximum entropy
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Related Items (5)
Intrinsic expansions for averaged diffusion processes ⋮ Diversified portfolios with different entropy measures ⋮ PRICING ASIAN OPTIONS WITH CORRELATORS ⋮ Moments and Mellin transform of the asset price in Stein and Stein model and option pricing ⋮ Method for constructing Stieltjes classes for \(M\)-indeterminate probability distributions
Cites Work
- Weak convergence of random growth processes with applications to insurance
- Entropy-convergence in Stieltjes and Hamburger moment problem
- The Fourier-series method for inverting transforms of probability distributions
- On second-order optimality of the observed Fisher information
- Minimum-Relative-Entropy Calibration of Asset-Pricing Models
- Laguerre Series for Asian and Other Options
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Maximum entropy in the Hamburger moments problem
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- The value of an Asian option
- Numerical Inversion of Laplace Transforms by Relating Them to the Finite Fourier Cosine Transform
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