Spectral Expansions for Asian (Average Price) Options

DOI10.1287/OPRE.1040.0113zbMATH Open1165.91406OpenAlexW2057372469MaRDI QIDQ5322002FDOQ5322002

Authors: Vadim Linetsky 

Publication date: 17 July 2009

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b05075c2accb01165e1935883ec90b191f8070af

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Mathematics Subject Classification ID

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• An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
• Pricing Asian options in affine GARCH models
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• The Hartman-Watson distribution revisited: asymptotics for pricing Asian options
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• A lattice algorithm for pricing moving average barrier options
• Accurate closed-form approximation for pricing Asian and basket options
• Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
• General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
• Black-Scholes representation for Asian options
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• Pricing arithmetic Asian options under Lévy models by backward induction in the dual space
• Asian option as a fixed-point
• A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
• Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval
• Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
• Exact distribution of the generalized Shiryaev-Roberts stopping time under the minimax Brownian motion setup
• A note on the quasi-stationary distribution of the Shiryaev martingale on the positive half-line
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• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
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• A general framework for pricing Asian options under Markov processes
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• Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
• Another look at the integral of exponential Brownian motion and the pricing of Asian options
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• The log-normal approximation in financial and other computations
• Arithmetic average options in the hyperbolic model
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• Bounds for in-progress floating-strike Asian options using symmetry
• The spectral representation of Bessel processes with constant drift: applications in queueing and finance
• Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
• Pricing average options under time-changed Lévy processes
• General multilevel Monte Carlo methods for pricing discretely monitored Asian options
• Geometric Brownian motion with affine drift and its time-integral
• Lévy processes with respect to the Whittaker convolution
• A meshless method for Asian style options pricing under the Merton jump-diffusion model
• Monte Carlo computation of the Laplace transform of exponential Brownian functionals
• SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
• Continuously monitored barrier options under Markov processes
• Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
• A general framework for time-changed Markov processes and applications
• The square-root process and Asian options
• A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
• An improved convolution algorithm for discretely sampled Asian options
• Closed-form expansions of discretely monitored Asian options in diffusion models
• The pricing of Asian options in uncertain volatility model
• Solution of the Fokker-Planck equation with a logarithmic potential and mixed eigenvalue spectrum
• Essentially exact asymptotic solutions for Asian derivatives
• Infinite integrals of Whittaker and Bessel functions with respect to their indices
• Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach
• Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval
• Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models
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• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
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• Asymptotic solutions for Australian options with low volatility
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• Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
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• Short maturity forward start Asian options in local volatility models
• A research on moving average Asian option pricing
• Most-likely-path in Asian option pricing under local volatility models

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