scientific article; zbMATH DE number 5005907

zbMATH Open1182.91171MaRDI QIDQ3369466FDOQ3369466

Authors: Daniel Dufresne 

Publication date: 13 February 2006

Title of this publication is not available (Why is that?)

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (28)

• On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
• On a gateway between continuous and discrete Bessel and Laguerre processes
• Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
• Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
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• Bessel processes, stochastic volatility, and timer options
• Discrete sums of geometric Brownian motions, annuities and Asian options
• A different approach for pricing Asian options
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• From planar Brownian windings to Asian options
• Hedging Problem for Asian Call Options with Transaction Costs
• An affine property of the reciprocal Asian option process
• Short Maturity Asian Options in Local Volatility Models
• Geometric Asian option pricing in general affine stochastic volatility models with jumps
• Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
• Short maturity forward start Asian options in local volatility models
• Sensitivities of Asian options in the Black-Scholes model
• On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values
• SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL
• Small-\(t\) expansion for the Hartman-Watson distribution
• Call option prices based on Bessel processes
• A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
• On certain integral functionals of squared Bessel processes
• Stochastic life annuities
• Asymmetric skew Bessel processes and their applications to finance
• European and Asian Greeks for exponential Lévy processes
• Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options

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