Pricing Asian options in a semimartingale model
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Publication:4610222
DOI10.1080/14697680400000021zbMath1405.91652OpenAlexW4241689226MaRDI QIDQ4610222
Publication date: 15 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.492.2257
Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (27)
Exotic options under Lévy models: an overview ⋮ A unified approach for the pricing of options relating to averages ⋮ Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes ⋮ On the implied market price of risk under the stochastic numéraire ⋮ Risk based capital for guaranteed minimum withdrawal benefit ⋮ Geometric Asian option pricing in general affine stochastic volatility models with jumps ⋮ Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options ⋮ A backward Monte Carlo approach to exotic option pricing ⋮ Short maturity conditional Asian options in local volatility models ⋮ Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index ⋮ Pricing and hedging Asian-style options on energy ⋮ Hedging Problem for Asian Call Options with Transaction Costs ⋮ Fourier transform of the continuous arithmetic Asian options PDE ⋮ Pricing average options under time-changed Lévy processes ⋮ Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space ⋮ Lower and upper bounds for prices of Asian-type options ⋮ Pricing Asian options with stochastic volatility ⋮ Asian and Australian options: a common perspective ⋮ Pricing Asian options in a stochastic volatility model with jumps ⋮ Asian options and meromorphic Lévy processes ⋮ On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps ⋮ Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models ⋮ Equivalence of floating and fixed strike Asian and lookback options ⋮ Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models ⋮ Simplified stochastic calculus with applications in economics and finance ⋮ Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models ⋮ Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
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