Approximations for Asian options in local volatility models
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Publication:455879
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(29)- Asymptotic and non asymptotic approximations for option valuation
- Lower bounds for densities of Asian type stochastic differential equations
- Hedging strategies for discretely monitored Asian options under Lévy processes
- Pricing vulnerable claims in a Lévy-driven model
- SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
- Pricing average options under time-changed Lévy processes
- Particle methods for PDEs arising in financial modeling
- Asymptotic expansion approach in finance
- Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options
- Short Maturity Asian Options in Local Volatility Models
- Expansion formulas for European quanto options in a local volatility FX-LIBOR model
- Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
- Most-likely-path in Asian option pricing under local volatility models
- Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
- On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model
- A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition
- Intrinsic Taylor formula for Kolmogorov-type homogeneous groups
- Existence of a fundamental solution of partial differential equations associated to Asian options
- Short maturity forward start Asian options in local volatility models
- Pricing arithmetic Asian options under hybrid stochastic and local volatility
- Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
- Weak approximation of averaged diffusion processes
- Short maturity conditional Asian options in local volatility models
- Sensitivities of Asian options in the Black-Scholes model
- Intrinsic expansions for averaged diffusion processes
- Tube estimates for diffusion processes under a weak Hörmander condition
- Expansion formulas for European options in a local volatility model
- A numerical study of Asian option with high-order compact finite difference scheme
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