Asymptotic solutions for Australian options with low volatility
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Publication:4586320
DOI10.1080/1350486X.2014.906973zbMATH Open1395.91469MaRDI QIDQ4586320FDOQ4586320
Authors: Sai Hung Marten Ting, Christian-Oliver Ewald 
Publication date: 12 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
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Cites Work
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Spectral Expansions for Asian (Average Price) Options
- Variable purchase options
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- On the equivalence of floating- and fixed-strike Asian options
- Asian and Australian options: a common perspective
- Essentially exact asymptotic solutions for Asian derivatives
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