Prices and sensitivities of Asian options: A survey

DOI10.1016/j.insmatheco.2007.02.003zbMath1141.91421OpenAlexW2016564841MaRDI QIDQ939350

Alexander Potapchik, Phelim P. Boyle

Publication date: 22 August 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.02.003

zbMATH Keywords

Laplace transformsMalliavin calculusAsian optionsGreeks

Mathematics Subject Classification ID

Related Items (25)

Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods ⋮ On the Valuation of Discrete Asian Options in High Volatility Environments ⋮ A hybrid finite difference scheme for pricing Asian options ⋮ Collocation boundary element method for the pricing of geometric Asian options ⋮ Efficient multiple control variate method with applications to exotic option pricing ⋮ Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models ⋮ High-order compact finite difference scheme for pricing Asian option with moving boundary condition ⋮ SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL ⋮ BOUNDS ON PRICES FOR ASIAN OPTIONS VIA FOURIER METHODS ⋮ Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus ⋮ An asymptotic expansion method for geometric Asian options pricing under the double Heston model ⋮ Efficient Monte Carlo simulation for integral functionals of Brownian motion ⋮ Control variates and conditional Monte Carlo for basket and Asian options ⋮ Equity-linked pension schemes with guarantees ⋮ Finite difference scheme with a moving mesh for pricing Asian options ⋮ Efficient and accurate quadratic approximation methods for pricing Asian strike options ⋮ Pricing American Asian options with higher moments in the underlying distribution ⋮ Asian and Australian options: a common perspective ⋮ Semi-Static Hedging for GMWB in Variable Annuities ⋮ A lattice algorithm for pricing moving average barrier options ⋮ A general control variate method for option pricing under Lévy processes ⋮ Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates ⋮ Efficient BEM-based algorithm for pricing floating strike Asian barrier options (with MATLAB\(^\circledR\) code) ⋮ Small-\(t\) expansion for the Hartman-Watson distribution ⋮ Short Maturity Forward Start Asian Options in Local Volatility Models

Uses Software

• Derivatives

Cites Work

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