Mathematical modelling and analysis of Asian options with stochastic strike price

DOI10.1080/00036811.2010.538686zbMATH Open1279.91152OpenAlexW2072078425WikidataQ58279152 ScholiaQ58279152MaRDI QIDQ3225829FDOQ3225829

Authors Ovidiu Calin, Bader Alshamary, Der-Chen Chang 

Publication date 22 March 2012

Published in Applicable Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00036811.2010.538686

zbMATH Keywords

option pricingBrownian motionBlack-Scholes equationAsian optionstochastic integral

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Recommendations

• Pricing of geometric Asian options under Heston's stochastic volatility model
• Pricing Asian options in financial markets using Mellin transforms
• Black-Scholes representation for Asian options
• The boundary value formulation of the Asian call option
• An analysis of Asian options

Cites work

• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

Cited in

(2)

• The boundary value formulation of the Asian call option
• The heat kernel for Kolmogorov type operators and its applications

This page was built for publication: Mathematical modelling and analysis of Asian options with stochastic strike price

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3225829)