Spectral Expansions for Asian (Average Price) Options

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Bounds on prices for Asian options via Fourier methods
On the asymptotic behavior of the prices of Asian options
Partial differential equations for Asian option prices
Evaluation of double average asian options by the legendre spectral method
Asian option pricing with orthogonal polynomials
Efficient Spectral-Galerkin Method for Pricing Asian Options
Pricing Asian options via compound gamma and orthogonal polynomials
Asian options on the harmonic average
Arithmetic average Asian options with stochastic elasticity of variance
Pricing Asian options via Taylor approximations

Cited in

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Statistical inference for reciprocal gamma diffusion process
The Istanbul option: Where the standard European option becomes Asian
A general framework for time-changed Markov processes and applications
A unified approach for the pricing of options relating to averages
The spectral expansion approach to index transforms and connections with the theory of diffusion processes
Exponential functionals of Lévy processes and variable annuity guaranteed benefits
The pricing of Asian options in uncertain volatility model
Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval
Numerical computation of an integral representation for arithmetic-average Asian options
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
General multilevel Monte Carlo methods for pricing discretely monitored Asian options
Asian options with zero cost-of-carry: EEX options on freight and iron ore futures
Pricing of the geometric Asian options under a multifactor stochastic volatility model
Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
Short maturity conditional Asian options in local volatility models
On the evaluation of an integral involving the Whittaker \(W\) function
Green's functions and the Cauchy problem of the Burgers hierarchy and forced Burgers equation
On the distribution of the time-integral of the geometric Brownian motion
Pricing vulnerable claims in a Lévy-driven model
Spectral decomposition of optimal asset-liability management
Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate
Intrinsic expansions for averaged diffusion processes
An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
Pricing average options under time-changed Lévy processes
Fourier transformation and the pricing of average-rate derivatives
Bounds for in-progress floating-strike Asian options using symmetry
An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
On the product formula and convolution associated with the index Whittaker transform
Geometric Brownian motion with affine drift and its time-integral
Laguerre series for Asian and other options
A meshless method for Asian style options pricing under the Merton jump-diffusion model
Exact distribution of the generalized Shiryaev-Roberts stopping time under the minimax Brownian motion setup
Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
Black-Scholes representation for Asian options
Essentially exact asymptotic solutions for Asian derivatives
Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation
Short Maturity Asian Options in Local Volatility Models
On the quasi-stationary distribution of the Shiryaev-Roberts diffusion
Pricing Asian options in affine GARCH models
A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
Statistical Inference for Student Diffusion Process
Pricing Asian options for jump diffusion
The Hartman-Watson distribution revisited: asymptotics for pricing Asian options
An improved convolution algorithm for discretely sampled Asian options
Pseudospectral methods for pricing options
Optimal importance sampling for the Laplace transform of exponential Brownian functionals
Another look at the integral of exponential Brownian motion and the pricing of Asian options
On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values
The square-root process and Asian options
On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model
A general framework for pricing Asian options under Markov processes
THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
Accurate closed-form approximation for pricing Asian and basket options
A direct solution to the Fokker-Planck equation for exponential Brownian functionals
Infinite integrals of Whittaker and Bessel functions with respect to their indices
On constructive complex analysis in finance: Explicit formulas for Asian options
Monte Carlo computation of the Laplace transform of exponential Brownian functionals
High-order approximation of Pearson diffusion processes
Arithmetic average options in the hyperbolic model
Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
Asymptotic expansion approach in finance
scientific article; zbMATH DE number 6929519 (Why is no real title available?)
Most-likely-path in Asian option pricing under local volatility models
Asymptotic solutions for Australian options with low volatility
Sensitivities of Asian options in the Black-Scholes model
A note on the quasi-stationary distribution of the Shiryaev martingale on the positive half-line
Pricing arithmetic Asian options under Lévy models by backward induction in the dual space
Evaluation of double average asian options by the legendre spectral method
A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
The log-normal approximation in financial and other computations
A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
The spectral representation of Bessel processes with constant drift: applications in queueing and finance
Geometric bounds on certain sublinear functionals of geometric Brownian motion
Continuously monitored barrier options under Markov processes
On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion
SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
Pricing Asian options with correlators
Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval
Efficiency of institutional spending and investment rules
Computable Error Bounds of Laplace Inversion for Pricing Asian Options
Pricing of fixed-strike arithmetic Asian powered options
Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
Asian option pricing with orthogonal polynomials
Short maturity forward start Asian options in local volatility models
Closed-form expansions of discretely monitored Asian options in diffusion models
Asian options on the harmonic average
A research on moving average Asian option pricing
Asian options pricing
An approximate closed-form formula of deferred arithmetic average Asian options
Solution of the Fokker-Planck equation with a logarithmic potential and mixed eigenvalue spectrum
Spectral representation of transition density of Fisher–Snedecor diffusion
Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach
PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
On the transition densities for reflected diffusions

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