Conditional moment matching for pricing arithmetic Asian options under Vasicek interest rate model

DOI10.3969/J.ISSN.1001-4268.2024.03.002MaRDI QIDQ6615089zbMATH OpenFDO

Authors Xiao Wei

Publication date 8 October 2024

Published in Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2024.03.002

zbMATH Keywords

Asian optionsconditional moment matchingstratified approximationsVasicek interest rate model

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Cites work

• Accurate pricing formulas for Asian options
• An equilibrium characterization of the term structure
• Convergence of numerical methods for valuing path-dependent options using interpolation
• Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
• Monte Carlo methods for security pricing
• Pricing and hedging long-term options
• Pricing Asian options in affine GARCH models
• Quasi-Monte Carlo Methods in Numerical Finance
• Small dimension PDE for discrete Asian options
• The value of an Asian option
• Three ways to solve for bond prices in the Vasiček model
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates

This page was built for publication: Conditional moment matching for pricing arithmetic Asian options under Vasicek interest rate model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6615089)