Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
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Publication:4838331
DOI10.1287/MNSC.40.12.1705zbMATH Open0824.90012OpenAlexW2019777691MaRDI QIDQ4838331FDOQ4838331
Author name not available (Why is that?)
Publication date: 13 July 1995
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.40.12.1705
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European optionsoption pricingconditioningportfoliosAsian optionsdistribution-approximating procedures
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- MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS
- SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL
- A lattice algorithm for pricing moving average barrier options
- Accurate closed-form approximation for pricing Asian and basket options
- Analytical approximations for prices of swap rate dependent embedded options in insurance products
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- Efficient pricing of discrete Asian options
- Short Maturity Forward Start Asian Options in Local Volatility Models
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Two efficient parameterized boundaries for Večeř's Asian option pricing PDE
- Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
- Effective and simple VWAP options pricing model
- Pricing of Asian-Type and Basket Options via Bounds
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- General Lower Bounds for Arithmetic Asian Option Prices
- Lower bound approximation of nonlinear basket option with jump-diffusion
- A hybrid Monte Carlo acceleration method of pricing basket options based on splitting
- Asian options pricing
- Pricing American Asian options with higher moments in the underlying distribution
- Pricing Asian options via compound gamma and orthogonal polynomials
- Equity-linked pension schemes with guarantees
- Optimal geometric mean returns of stocks and their options
- Efficient multiple control variate method with applications to exotic option pricing
- Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
- A moment matching approach to log-normal portfolio optimization
- Pricing swaptions under multifactor Gaussian HJM models
- Estimation of ask and bid prices for geometric Asian options
- Control variates and conditional Monte Carlo for basket and Asian options
- The value of an Asian option
- Lower and upper bounds for prices of Asian-type options
- Asian option pricing with orthogonal polynomials
- Pricing and hedging basket options to prespecified levels of acceptability
- Pricing and hedging basket options with exact moment matching
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- LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS
- Pricing average options under time-changed Lévy processes
- A simple efficient approximation to price basket stock options with volatility smile
- Analytical valuation for geometric Asian options in illiquid markets
- Simulation methods for valuing Asian option prices in a hyperbolic asset price model
- Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
- Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
- Moment matching approximation of Asian basket option prices
- AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- An easy computable upper bound for the price of an arithmetic Asian option
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
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- An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options
- Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
- General closed-form basket option pricing bounds
- Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
- Existence of a fundamental solution of partial differential equations associated to Asian options
- Pricing of arithmetic basket options by conditioning.
- The square-root process and Asian options
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