The following pages link to The value of an Asian option (Q4866783):
Displayed 50 items.
- An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options (Q534248) (← links)
- Transforming arithmetic Asian option PDE to the parabolic equation with constant coefficients (Q539363) (← links)
- Efficient pricing of discrete Asian options (Q555398) (← links)
- Quantile approximations in auto-regressive portfolio models (Q629438) (← links)
- Bounds for some general sums of random variables (Q631537) (← links)
- Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus (Q639362) (← links)
- Equity-linked pension schemes with guarantees (Q654835) (← links)
- Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables (Q704415) (← links)
- Pricing rate of return guarantees in regular premium unit linked insurance (Q704417) (← links)
- Pricing and hedging Asian basket spread options (Q848538) (← links)
- Asian options with jumps (Q866600) (← links)
- An exact subexponential-time lattice algorithm for Asian options (Q878377) (← links)
- Free boundary and optimal stopping problems for American Asian options (Q928494) (← links)
- Analytic bounds and approximations for annuities and Asian options (Q931209) (← links)
- Bounds for Asian basket options (Q932705) (← links)
- Prices and sensitivities of Asian options: A survey (Q939350) (← links)
- Quantifying the error of convex order bounds for truncated first moments (Q939362) (← links)
- Optimal approximations for risk measures of sums of lognormals based on conditional expectations (Q950092) (← links)
- Small dimension PDE for discrete Asian options (Q951412) (← links)
- Valuing Asian options using the finite element method and duality techniques (Q952087) (← links)
- Pricing American Asian options with higher moments in the underlying distribution (Q953394) (← links)
- Moment matching approximation of Asian basket option prices (Q970389) (← links)
- A lattice algorithm for pricing moving average barrier options (Q975929) (← links)
- Pricing exotic options under regime switching (Q995503) (← links)
- Analytical approximations for prices of swap rate dependent embedded options in insurance products (Q1003826) (← links)
- Accurate and efficient lattice algorithms for American-style Asian options with range bounds (Q1008586) (← links)
- A path-dependent contingent-claims approach to capacity investments (Q1044172) (← links)
- Obstacle problem for arithmetic Asian options (Q1046556) (← links)
- The Istanbul option: Where the standard European option becomes Asian (Q1381465) (← links)
- The concept of comonotonicity in actuarial science and finance: theory. (Q1394963) (← links)
- The concept of comonotonicity in actuarial science and finance: applications. (Q1413349) (← links)
- A Cox process with log-normal intensity. (Q1413360) (← links)
- Pricing of arithmetic basket options by conditioning. (Q1430672) (← links)
- An easy computable upper bound for the price of an arithmetic Asian option (Q1584514) (← links)
- Contingent claims on assets with conversion costs. (Q1873082) (← links)
- Accurate pricing formulas for Asian options (Q2372053) (← links)
- A convergent quadratic-time lattice algorithm for pricing European-style Asian options (Q2383617) (← links)
- Fourier transformation and the pricing of average-rate derivatives (Q2466427) (← links)
- Bounds for in-progress floating-strike Asian options using symmetry (Q2480218) (← links)
- Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods (Q2507719) (← links)
- Bounds for the price of a European-style Asian option in a binary tree model (Q2569027) (← links)
- Bounds for the price of discrete arithmetic Asian options (Q2570028) (← links)
- An efficient convergent lattice algorithm for European Asian options (Q2571992) (← links)
- Some asymptotic results for sums of dependent random variables, with actuarial applications (Q2581774) (← links)
- Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion (Q2583513) (← links)
- Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility (Q2786206) (← links)
- Efficient and accurate quadratic approximation methods for pricing Asian strike options (Q3005363) (← links)
- PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS (Q3005964) (← links)
- AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS (Q3022037) (← links)
- SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS (Q3067163) (← links)