Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
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Publication:3532293
DOI10.1017/S095679250800750XzbMath1152.91502MaRDI QIDQ3532293
J. N. Dewynne, William T. Shaw
Publication date: 3 November 2008
Published in: European Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s095679250800750x
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
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Cites Work
- Matched asymptotic expansions in financial engineering
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- The Mathematics of Financial Derivatives
- The value of an Asian option
- Spectral Expansions for Asian (Average Price) Options
- Exponential functionals of Brownian motion and related processes
