Path integral pricing of Asian options on state-dependent volatility models

DOI10.1080/14697680701282186MaRDI QIDQ3498562zbMATH OpenOpenAlexFDO

Authors G. Campolieti, R. Makarov

Publication date 15 May 2008

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680701282186

zbMATH Keywords

Asian optionspath integral pricingstate-dependent volatility models

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• A study of 128-bit multipliers for congruential pseudorandom number generators
• A theory of the term structure of interest rates
• Monte Carlo methods for security pricing
• On the Bessel distribution and related problems
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
• Simulating bessel random variables
• The path integral approach to financial modeling and options pricing

Cited in

(9)

• Pricing Asian options via compound gamma and orthogonal polynomials
• Path integral pricing of outside barrier Asian options
• Pricing step options under the CEV and other solvable diffusion models
• Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts
• Exact simulation of Bessel diffusions
• Adaptive (quasi-)Monte Carlo methods for pricing path-dependent options
• PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
• Most-likely-path in Asian option pricing under local volatility models
• On properties of analytically solvable families of local volatility diffusion models

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