BEM based semi-analytical approach for accurate evaluation of arithmetic Asian barrier options
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Cites work
- A lattice algorithm for pricing moving average barrier options
- A Precision Approximation of the Gamma Function
- A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
- Asian-barrier option pricing formulas of uncertain financial market
- Collocation boundary element method for the pricing of geometric Asian options
- Double knock-out Asian barrier options which widen or contract as they approach maturity
- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code)
- scientific article; zbMATH DE number 2175061 (Why is no real title available?)
- scientific article; zbMATH DE number 3505981 (Why is no real title available?)
- Numerical pricing of geometric Asian options with barriers
- On some exponential functionals of Brownian motion
- Option pricing when underlying stock returns are discontinuous
- Prices and sensitivities of Asian options: A survey
- Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options
- Small-\(t\) expansion for the Hartman-Watson distribution
- SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
- Step options.
- The Hartman-Watson distribution revisited: asymptotics for pricing Asian options
- The pricing of options and corporate liabilities
- Tools for computational finance.
- Wellposedness of the boundary value formulation of a fixed strike Asian option
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