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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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
Continuously monitored barrier options under Markov processes
Geometric bounds on certain sublinear functionals of geometric Brownian motion
The square-root process and Asian options
Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation
An improved convolution algorithm for discretely sampled Asian options
A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
Closed-form expansions of discretely monitored Asian options in diffusion models
The pricing of Asian options in uncertain volatility model
The derivatives of Asian call option prices
Prices and sensitivities of Asian options: A survey
An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
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
Essentially exact asymptotic solutions for Asian derivatives
Pricing Asian options in affine GARCH models
Pricing vulnerable claims in a Lévy-driven model
Pricing of fixed-strike arithmetic Asian powered options
Statistical Inference for Student Diffusion Process
Infinite integrals of Whittaker and Bessel functions with respect to their indices
On the evaluation of an integral involving the Whittaker \(W\) function
THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
The Hartman-Watson distribution revisited: asymptotics for pricing Asian options
Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach
A unified approach for the pricing of options relating to averages
Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval
Intrinsic expansions for averaged diffusion processes
High-order approximation of Pearson diffusion processes
On the transition densities for reflected diffusions
A lattice algorithm for pricing moving average barrier options
Asian options on the harmonic average
Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Accurate closed-form approximation for pricing Asian and basket options
Pricing Asian options with correlators
SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
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
Asian option as a fixed-point
Pricing arithmetic Asian options under Lévy models by backward induction in the dual space
A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
Fourier transformation and the pricing of average-rate derivatives
Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval
Efficiency of institutional spending and investment rules
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 strengthened solution to option manipulation
On the quasi-stationary distribution of the Shiryaev-Roberts diffusion
A note on the quasi-stationary distribution of the Shiryaev martingale on the positive half-line
A direct solution to the Fokker-Planck equation for exponential Brownian functionals
Numerical computation of an integral representation for arithmetic-average Asian options
Asymptotic solutions for Australian options with low volatility
Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
Evaluation of double average asian options by the legendre spectral method
On the product formula and convolution associated with the index Whittaker transform
Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
scientific article; zbMATH DE number 6929519 (Why is no real title available?)
Pricing American Asian options with higher moments in the underlying distribution
Asian options pricing
Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits
PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
Exponential functionals of Lévy processes and variable annuity guaranteed benefits
The spectral expansion approach to index transforms and connections with the theory of diffusion processes
Asian options with zero cost-of-carry: EEX options on freight and iron ore futures
Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate
Pseudospectral methods for pricing options
A general framework for pricing Asian options under Markov processes
Another look at the integral of exponential Brownian motion and the pricing of Asian options
Spectral decomposition of optimal asset-liability management
Green's functions and the Cauchy problem of the Burgers hierarchy and forced Burgers equation
Short Maturity Asian Options in Local Volatility Models
Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
Statistical inference for reciprocal gamma diffusion process
Optimal importance sampling for the Laplace transform of exponential Brownian functionals
Asian option pricing via Laguerre quadrature: a diffusion kernel approach
Short maturity forward start Asian options in local volatility models
Computable Error Bounds of Laplace Inversion for Pricing Asian Options
Spectral representation of transition density of Fisher–Snedecor diffusion
Laguerre series for Asian and other options
A research on moving average Asian option pricing
On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model
Pricing Asian options for jump diffusion
Most-likely-path in Asian option pricing under local volatility models
Sensitivities of Asian options in the Black-Scholes model
Asian option pricing with orthogonal polynomials
On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values
Short maturity conditional Asian options in local volatility models
On the distribution of the time-integral of the geometric Brownian motion
Asymptotic expansion approach in finance
SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL
The log-normal approximation in financial and other computations
Arithmetic average options in the hyperbolic model
Bounds for in-progress floating-strike Asian options using symmetry
On constructive complex analysis in finance: Explicit formulas for Asian options
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

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