A different approach for pricing Asian options

DOI10.1016/j.aml.2007.03.016zbMath1154.91438OpenAlexW1986010345MaRDI QIDQ958901

J. M. González-Rodríguez, Domingo Israel Cruz-Báez

Publication date: 10 December 2008

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2007.03.016

zbMATH Keywords

Laplace transformoption pricingMathematicaAsian arithmetic option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (5)

A hybrid finite difference scheme for pricing Asian options ⋮ The Null Volatility Limit of the Chaotic Black-Scholes Equation ⋮ Fourier transform of the continuous arithmetic Asian options PDE ⋮ Transforming arithmetic Asian option PDE to the parabolic equation with constant coefficients ⋮ The chaotic Black-Scholes equation with time-dependent coefficients

Uses Software

• Mathematica

Cites Work

• The Pricing of Options and Corporate Liabilities
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
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