Arithmetic average options in the hyperbolic model

DOI10.1163/156939603322728996zbMATH Open1061.91030OpenAlexW4230592007MaRDI QIDQ4462529FDOQ4462529

Robert F. Tichy, M. Predota, Gerhard Larcher

Publication date: 18 May 2004

Full work available at URL: https://doi.org/10.1163/156939603322728996

Recommendations

• On European and Asian option pricing in the generalized hyperbolic model
• scientific article; zbMATH DE number 1978948
• Simulation methods for valuing Asian option prices in a hyperbolic asset price model
• Spectral Expansions for Asian (Average Price) Options
• Asian options on the harmonic average

zbMATH Keywords

Quasi-Monte Carlo methodsEsscher transformhyperbolic distributionAsian Option

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) General theory of stochastic processes (60G07)

Cites Work

• Title not available (Why is that?)
• Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Hyperbolic distributions in finance
• Sequences, discrepancies and applications
• Asymptotically optimal importance sampling and stratification for pricing path-dependent options
• Bounds for the weighted \(L^p\) discrepancy and tractability of integration
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (5)

• A general control variate method for option pricing under Lévy processes
• Simulation methods for valuing Asian option prices in a hyperbolic asset price model
• Title not available (Why is that?)
• On European and Asian option pricing in the generalized hyperbolic model
• Title not available (Why is that?)

This page was built for publication: Arithmetic average options in the hyperbolic model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4462529)