Arithmetic average options in the hyperbolic model
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Publication:4462529
DOI10.1163/156939603322728996zbMATH Open1061.91030OpenAlexW4230592007MaRDI QIDQ4462529FDOQ4462529
Authors: M. Predota, Robert F. Tichy, Gerhard Larcher 
Publication date: 18 May 2004
Full work available at URL: https://doi.org/10.1163/156939603322728996
Recommendations
Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) General theory of stochastic processes (60G07)
Cites Work
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- Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
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- Hyperbolic distributions in finance
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- Asymptotically optimal importance sampling and stratification for pricing path-dependent options
- Bounds for the weighted \(L^p\) discrepancy and tractability of integration
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Cited In (7)
- A general control variate method for option pricing under Lévy processes
- Asian options on the harmonic average
- Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
- 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?)
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