Moments of integrated exponential Lévy processes and applications to Asian options pricing
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Publication:5039631
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Cites work
- scientific article; zbMATH DE number 3155846 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
- A general framework for pricing Asian options under Markov processes
- A novel pricing method for European options based on Fourier-cosine series expansions
- An efficient transform method for Asian option pricing
- Asian option pricing with orthogonal polynomials
- Asian options pricing in Hawkes-type jump-diffusion models
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Double knock-out Asian barrier options which widen or contract as they approach maturity
- Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- Exact simulation of the SABR model
- Exponential functionals of Brownian motion. I: Probability laws at fixed time
- Financial Modelling with Jump Processes
- Gamma expansion of the Heston stochastic volatility model
- General lattice methods for arithmetic Asian options
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Geometric Asian option pricing in general affine stochastic volatility models with jumps
- Machine learning for quantitative finance: fast derivative pricing, hedging and fitting
- Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
- Numerical Computation of the Moments of a Probability Distribution from its Transform
- Option pricing when underlying stock returns are discontinuous
Cited in
(8)- Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
- Exact simulation of the Hull and White stochastic volatility model
- Moments of exponential functionals of Lévy processes on a deterministic horizon -- identities and explicit expressions
- Asian options and meromorphic Lévy processes
- On the distribution of the Hilbert transform of the local time of a symmetric Lévy process
- Another look at the integral of exponential Brownian motion and the pricing of Asian options
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options
- Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model
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