The square-root process and Asian options

DOI10.1080/14697680600724775MaRDI QIDQ3437388zbMATH OpenOpenAlexFDO

Authors Angelos Dassios, Jayalaxshmi Nagaradjasarma

Publication date 9 May 2007

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/2851/

Mathematics Subject Classification ID

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• An affine property of the reciprocal Asian option process
• An inequality for a functional of probability distributions and its application to Kac's one-dimensional model of a Maxwellian gas
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Exponential functionals of Brownian motion and related processes
• scientific article; zbMATH DE number 845007 (Why is no real title available?)
• Laguerre series for Asian and other options
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• Semi-stable Markov processes. I
• SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
• Spectral Expansions for Asian (Average Price) Options
• The value of an Asian option
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Two singular diffusion problems

Cited in

(13)

• Analytical approximations for prices of swap rate dependent embedded options in insurance products
• Pricing CIR yield options by conditional moment matching
• On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach
• General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
• Short Maturity Asian Options in Local Volatility Models
• scientific article; zbMATH DE number 5005907 (Why is no real title available?)
• PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS
• Most-likely-path in Asian option pricing under local volatility models
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
• Finite-dimensional distributions of a square-root diffusion
• Bounds on prices for Asian options via Fourier methods
• A Cox model for gradually disappearing events
• SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS

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