scientific article; zbMATH DE number 1978948

MaRDI QIDQ4425385zbMATH OpenFDO

Authors Jürgen Hartinger, M. Predota

Publication date 2002

zbMATH Keywords

Asian optionssamplingstock price model

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(9)

• On Asian option pricing for NIG Lévy processes
• Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
• An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process
• Arithmetic average options in the hyperbolic model
• Simulation methods for valuing Asian option prices in a hyperbolic asset price model
• Exact retrospective Monte Carlo computation of arithmetic average Asian options
• On European and Asian option pricing in the generalized hyperbolic model
• Exotic options under Lévy models: an overview
• Fitting bivariate cumulative returns with copulas

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