The pricing of Asian options under stochastic interest rates

DOI10.1080/13504869600000011MaRDI QIDQ4342180zbMATH OpenOpenAlexFDO

Authors Jørgen Aase Nielsen, Klaus Sandmann

Publication date 3 July 1997

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL http://www.tandf.co.uk/journals/routledge/1350486X.html

zbMATH Keywords

Monte Carlo simulationstochastic interest ratesforward risk adjusted measurepricing of Asian options

Mathematics Subject Classification ID

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

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Cites work

• An equilibrium characterization of the term structure
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Changes of numéraire, changes of probability measure and option pricing
• Equity-linked life insurance: A model with stochastic interest rates
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹

Cited in

(15)

• Term structure movements implicit in Asian option prices
• Prices of Asian options under stochastic interest rates
• Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models
• Pricing of Ratchet equity-indexed annuities under stochastic interest rates
• Pricing Asian options in a semimartingale model
• Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
• Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate
• On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach
• Bounds for in-progress floating-strike Asian options using symmetry
• Catastrophe risk management with counterparty risk using alternative instruments
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