Double knock-out Asian barrier options which widen or contract as they approach maturity

DOI10.1080/14697680802392470MaRDI QIDQ3395741zbMATH OpenOpenAlexWikidataFDO

Authors S. Kazantzaki, C. Atkinson

Publication date 13 September 2009

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://www.ssoar.info/ssoar/handle/document/22126

zbMATH Keywords

Asian optionsbarrier optionsdifferential equation method

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Comment on ``Pricing double barrier options using Laplace transforms by Antoon Pelsser
• Connecting discrete and continuous path-dependent options
• Hedging options under transaction costs and stochastic volatility
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• Path-dependent options and transaction costs
• PDE methods for pricing barrier options
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS
• Pricing Barrier Options with Time–Dependent Coefficients
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• Pricing Options With Curved Boundaries¹
• The path integral approach to financial modeling and options pricing

Cited in

(3)

• Collocation boundary element method for the pricing of geometric Asian options
• Moments of integrated exponential Lévy processes and applications to Asian options pricing
• BEM based semi-analytical approach for accurate evaluation of arithmetic Asian barrier options

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