Asymptotic solutions for Australian options with low volatility

DOI10.1080/1350486X.2014.906973MaRDI QIDQ4586320zbMATH OpenFDO

Authors Sai Hung Marten Ting, Christian-Oliver Ewald

Publication date 12 September 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

asymptotic expansionsstochastic volatilityAsian optionsAustralian options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
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Cites work

• Asian and Australian options: a common perspective
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
• Essentially exact asymptotic solutions for Asian derivatives
• On the equivalence of floating- and fixed-strike Asian options
• Spectral Expansions for Asian (Average Price) Options
• Variable purchase options

Cited in

(1)

• Valuing of timer path-dependent options

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