Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
From MaRDI portal
Publication:4838331
Recommendations
Cited in
(75)- The Istanbul option: Where the standard European option becomes Asian
- Prices and sensitivities of Asian options: A survey
- Valuing vulnerable geometric Asian options
- Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching
- The pricing formula of the geometric Asian exchange option related with exchange rate
- Pricing Asian options in affine GARCH models
- Pricing of Asian-type and basket options via bounds
- Bounds on prices for Asian options via Fourier methods
- Pricing interest rate derivatives under monetary changes
- scientific article; zbMATH DE number 5005059 (Why is no real title available?)
- Cross-hedging minimum return guarantees: basis and liquidity risks
- Approximate valuation of average options
- Bounds for the price of discrete arithmetic Asian options
- Analytic bounds and approximations for annuities and Asian options
- scientific article; zbMATH DE number 5283443 (Why is no real title available?)
- A transform-based method for pricing Asian options under general two-dimensional models
- Probabilistic programming for nitrate pollution control: Comparing different probabilistic constraint approximations
- A lattice algorithm for pricing moving average barrier options
- Analytical approximations for prices of swap rate dependent embedded options in insurance products
- Efficient pricing of discrete Asian options
- Accurate closed-form approximation for pricing Asian and basket options
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing
- Two efficient parameterized boundaries for Večeř's Asian option pricing PDE
- New control variates for pricing basket options
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
- Effective and simple VWAP options pricing model
- scientific article; zbMATH DE number 5027094 (Why is no real title available?)
- An extension of the chaos expansion approximation for the pricing of exotic basket options
- General Lower Bounds for Arithmetic Asian Option Prices
- A hybrid Monte Carlo acceleration method of pricing basket options based on splitting
- Lower bound approximation of nonlinear basket option with jump-diffusion
- Pricing American Asian options with higher moments in the underlying distribution
- Asian options pricing
- Equity-linked pension schemes with guarantees
- Pricing Asian options via compound gamma and orthogonal polynomials
- Optimal geometric mean returns of stocks and their options
- A moment matching approach to log-normal portfolio optimization
- Efficient multiple control variate method with applications to exotic option pricing
- Pricing swaptions under multifactor Gaussian HJM models
- Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
- Estimation of ask and bid prices for geometric Asian options
- Control variates and conditional Monte Carlo for basket and Asian options
- Lower and upper bounds for prices of Asian-type options
- Short maturity forward start Asian options in local volatility models
- The value of an Asian option
- Pricing and hedging basket options with exact moment matching
- Most-likely-path in Asian option pricing under local volatility models
- Sensitivities of Asian options in the Black-Scholes model
- Pricing and hedging basket options to prespecified levels of acceptability
- Asian option pricing with orthogonal polynomials
- Approximate basket options valuation for a jump-diffusion model
- Bounds for in-progress floating-strike Asian options using symmetry
- A simple efficient approximation to price basket stock options with volatility smile
- LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS
- Analytical valuation of American-style Asian options
- Pricing average options under time-changed Lévy processes
- Analytical valuation for geometric Asian options in illiquid markets
- Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
- Moment matching approximation of Asian basket option prices
- Simulation methods for valuing Asian option prices in a hyperbolic asset price model
- Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
- AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS
- An easy computable upper bound for the price of an arithmetic Asian option
- Bounds for Asian basket options
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
- Pricing of arithmetic basket options by conditioning.
- Existence of a fundamental solution of partial differential equations associated to Asian options
- General closed-form basket option pricing bounds
- Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
- The square-root process and Asian options
- Beyond Lognormal Sums: A Four-Moment Probability Framework for Basket and Spread Option Pricing
- One-state variable binomial models for European-/American-style geometric Asian options
This page was built for publication: Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4838331)
