Valuing vulnerable geometric Asian options
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Cites work
- A closed-form solution for lookback options using Mellin transform approach
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- scientific article; zbMATH DE number 5852050 (Why is no real title available?)
- scientific article; zbMATH DE number 5228515 (Why is no real title available?)
- Mellin transform method for European option pricing with Hull-White stochastic interest rate
- Option pricing with Mellin transforms
- Pricing vulnerable options under a stochastic volatility model
- Pricing vulnerable path-dependent options using integral transforms
- Stochastic differential equations. An introduction with applications.
- The pricing of vulnerable options with double Mellin transforms
Cited in
(27)- Some properties concerning the analysis of generalized Wright function
- Analytical valuation of vulnerable European and Asian options in intensity-based models
- Pricing vulnerable options with jump risk and liquidity risk
- Pricing path-dependent options under the Hawkes jump diffusion process
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
- Analytical valuation for geometric Asian options in illiquid markets
- Closed-form pricing formula for foreign equity option with credit risk
- Two frameworks for pricing defaultable derivatives
- Analytic valuation of European continuous-installment barrier options
- Pricing vulnerable power exchange options in an intensity based framework
- Pricing vulnerable fader options under stochastic volatility models
- Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
- Pricing vulnerable path-dependent options using integral transforms
- Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images
- An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
- The pricing formulas of default geometric average Asian option with stochastic liabilities
- Variational inequality arising from variable annuity with mean reversion environment
- Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
- The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model
- Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach
- Pricing vulnerable lookback options using Laplace transforms
- The pricing of dynamic fund protection with default risk
- Pricing vulnerable extremum options in a Markov regime-switching Heston's model and stochastic interest rate
- Valuation of American maximum exchange rate quanto lookback options
- Valuing vulnerable Asian options with liquidity risk under Lévy processes
- Valuing vulnerable Asian options under contagion dynamics
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