The value of an Asian option
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(only showing first 100 items - show all)- Analytical approximations for prices of swap rate dependent embedded options in insurance products
- Accurate and efficient lattice algorithms for American-style Asian options with range bounds
- A path-dependent contingent-claims approach to capacity investments
- Obstacle problem for arithmetic Asian options
- The Istanbul option: Where the standard European option becomes Asian
- The concept of comonotonicity in actuarial science and finance: theory.
- The concept of comonotonicity in actuarial science and finance: applications.
- A Cox process with log-normal intensity.
- Pricing of arithmetic basket options by conditioning.
- An easy computable upper bound for the price of an arithmetic Asian option
- The Jacobi stochastic volatility model
- A numerical study of Asian option with radial basis functions based finite differences method
- Superhedging under ratio constraint
- Pricing Asian options via compound gamma and orthogonal polynomials
- Modified B-spline collocation approach for pricing American style Asian options
- The pricing of Asian options in uncertain volatility model
- An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
- Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
- Singular risk-neutral valuation equations
- Asian option pricing problems of uncertain mean-reverting stock model
- Contingent claims on assets with conversion costs.
- A provisioning problem with stochastic payments
- \(\varepsilon\)-strong simulation of the Brownian path
- Asian and Australian options: a common perspective
- Cross-hedging minimum return guarantees: basis and liquidity risks
- Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
- Risk aggregation with dependence uncertainty
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- Pricing of the geometric Asian options under a multifactor stochastic volatility model
- A modification of Galerkin's method for option pricing
- Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation
- A robust numerical technique and its analysis for computing the price of an Asian option
- Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory
- A fourth order numerical method based on B-spline functions for pricing Asian options
- An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options
- General lattice methods for arithmetic Asian options
- A note on the implied volatility of floating strike Asian options
- Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge
- Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate
- The difference between LSMC and replicating portfolio in insurance liability modeling
- Intrinsic expansions for averaged diffusion processes
- Accurate pricing formulas for Asian options
- On the asymptotic behavior of the prices of Asian options
- A convergent quadratic-time lattice algorithm for pricing European-style Asian options
- High-order compact finite difference scheme for pricing Asian option with moving boundary condition
- Weak approximation of averaged diffusion processes
- Pricing average options under time-changed Lévy processes
- Finite difference scheme with a moving mesh for pricing Asian options
- Fourier transformation and the pricing of average-rate derivatives
- Bounds for in-progress floating-strike Asian options using symmetry
- Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
- Discrete sums of geometric Brownian motions, annuities and Asian options
- Lattice Boltzmann methods for solving partial differential equations of exotic option pricing
- Bounds for the price of a European-style Asian option in a binary tree model
- Bounds for the price of discrete arithmetic Asian options
- An efficient convergent lattice algorithm for European Asian options
- Some asymptotic results for sums of dependent random variables, with actuarial applications
- Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion
- A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing
- Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
- A meshless method for Asian style options pricing under the Merton jump-diffusion model
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- Black-Scholes representation for Asian options
- An explicit option-based strategy that outperforms dollar cost averaging
- Essentially exact asymptotic solutions for Asian derivatives
- Arithmetic Asian options under stochastic delay models
- Pricing swaptions under multifactor Gaussian HJM models
- Effective and simple VWAP options pricing model
- Short Maturity Asian Options in Local Volatility Models
- Application of high-precision computing for pricing arithmetic Asian options
- A hybrid finite difference scheme for pricing Asian options
- Efficient and accurate quadratic approximation methods for pricing Asian strike options
- Pricing Asian options in affine GARCH models
- AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS
- SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
- Pricing Asian options for jump diffusion
- WAVELET OPTIMIZED VALUATION OF FINANCIAL DERIVATIVES
- A moment approach to bounding exotic options under regime switching
- An improved convolution algorithm for discretely sampled Asian options
- Asian options, jump-diffusion processes on a lattice, and Vandermonde matrices
- scientific article; zbMATH DE number 6496530 (Why is no real title available?)
- Another look at the integral of exponential Brownian motion and the pricing of Asian options
- A novel reduction of the simple Asian option and Lie-group invariant solutions
- On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values
- The square-root process and Asian options
- PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
- General Lower Bounds for Arithmetic Asian Option Prices
- ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- Accurate closed-form approximation for pricing Asian and basket options
- Asymptotic behavior of distribution densities in models with stochastic volatility. I.
- On constructive complex analysis in finance: Explicit formulas for Asian options
- On the Valuation of Asian Options by Variational Methods
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
- Efficient willow tree method for European-style and American-style moving average barrier options pricing
- Low-dimensional partial integro-differential equations for high-dimensional Asian options
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