The pricing of Asian options under stochastic interest rates

DOI10.1080/13504869600000011zbMATH Open0874.90031OpenAlexW1970195442MaRDI QIDQ4342180FDOQ4342180

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

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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)

Cites Work

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

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 Asian options in a semimartingale model
• Pricing of Ratchet equity-indexed annuities under stochastic interest rates
• 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
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• Catastrophe risk management with counterparty risk using alternative instruments
• Asian quanto options pricing under stochastic interest rate
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• Pricing rate of return guarantees in regular premium unit linked insurance
• Pricing of Asian exchange rate options under stochastic interest rates as a sum of options

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