Asian Options Under One-Sided Lévy Models

DOI10.1239/jap/1371648946zbMath1266.91109MaRDI QIDQ5299562

Pierre Patie

Publication date: 26 June 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1371648946

zbMATH Keywords

Lévy process; Asian option; exponential functional; hypergeometric-type function

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Bernstein-gamma functions and exponential functionals of Lévy processes, The value of power-related options under spectrally negative Lévy processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Law of the absorption time of some positive self-similar Markov processes
• Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes
• Exponential functionals of Lévy processes
• Law of the exponential functional of one-sided Lévy processes and Asian options
• Beta-gamma random variables and intertwining relations between certain Markov processes
• A general version of the fundamental theorem of asset pricing
• Lévy term structure models: no-arbitrage and completeness
• Present value distributions with applications to ruin theory and stochastic equations
• Equivalence of floating and fixed strike Asian and lookback options
• Tail asymptotics for exponential functionals of Lévy processes
• Introductory lectures on fluctuations of Lévy processes with applications.
• Laguerre Series for Asian and Other Options
• On the equivalence of floating- and fixed-strike Asian options
• Short Positions, Rally Fears and Option Markets
• On constructive complex analysis in finance: Explicit formulas for Asian options
• q-Invariant Functions for Some Generalizations of the Ornstein-Uhlenbeck Semigroup
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
• The value of an Asian option
• LAGUERRE SERIES IN CONTINGENT CLAIM VALUATION, WITH APPLICATIONS TO ASIAN OPTIONS
• On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
• Exponential functionals of Brownian motion and related processes