SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL
From MaRDI portal
Publication:4608115
DOI10.1142/S0219024918500085zbMATH Open1395.91463OpenAlexW2793233807MaRDI QIDQ4608115FDOQ4608115
Publication date: 15 March 2018
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024918500085
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Applications of Malliavin calculus to Monte Carlo methods in finance
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- The value of an Asian option
- Prices and sensitivities of Asian options: A survey
- The integral of geometric Brownian motion
- On some exponential functionals of Brownian motion
- Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
- Spectral Expansions for Asian (Average Price) Options
- Robustness of the Black and Scholes Formula
- Diffusion processes in a small time interval
- Estimating Security Price Derivatives Using Simulation
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- Approximations for Asian options in local volatility models
- Bounds for the price of discrete arithmetic Asian options
- On the equivalence of floating- and fixed-strike Asian options
- A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion
- A General Framework for Pricing Asian Options Under Markov Processes
- The derivatives of Asian call option prices
- Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
- Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
- Short Maturity Asian Options in Local Volatility Models
- MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS
Cited In (7)
- Solving the general form of the fractional Black-Scholes with two assets through reconstruction variational iteration method
- MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS
- CALCULATION OF ASIAN OPTIONS FOR THE BLACK–SCHOLES MODEL
- Title not available (Why is that?)
- A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL
- On the solution of two-dimensional fractional Black-Scholes equation for European put option
- SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL
This page was built for publication: SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4608115)
