An analysis of Asian options
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Publication:3601969
zbMATH Open1187.91215MaRDI QIDQ3601969FDOQ3601969
Authors: Stefan Sperlich, Mathias Wilke, Jan Pruess 
Publication date: 12 February 2009
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Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) One-parameter semigroups and linear evolution equations (47D06) (C)-semigroups, regularized semigroups (47D60)
Cited In (15)
- An analysis of path-dependent options
- On a strongly continuous semigroup for a Black-Scholes integro-differential operator: European options under jump-diffusion dynamics
- Semigroup theory applied to options
- Title not available (Why is that?)
- Wellposedness of the boundary value formulation of a fixed strike Asian option
- Black-Scholes representation for Asian options
- Asian options with jumps
- Asian option as a fixed-point
- Regularity of a degenerate parabolic equation appearing in Vecer's unified pricing of Asian options
- On a degenerate parabolic equation arising in pricing of Asian options
- Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options
- Preface. Special issue dedicated to Jan Prüss on the occasion of his 65th birthday
- Existence of a fundamental solution of partial differential equations associated to Asian options
- Mathematical modelling and analysis of Asian options with stochastic strike price
- Partial differential equations for Asian option prices
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