IDEAS home Printed from https://ideas.repec.org/r/cup/jfinqa/v26y1991i03p377-389_00.html
   My bibliography  Save this item

A Quick Algorithm for Pricing European Average Options

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Edward P. C. Kao & Weiwei Xie, 2017. "Pricing spread options by generalized bivariate edgeworth expansion," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-30, June.
  2. Xueping Wu & Jin Zhang, 1999. "Options on the minimum or the maximum of two average prices," Review of Derivatives Research, Springer, vol. 3(2), pages 183-204, May.
  3. Kijima, Masaaki & Wong, Tony, 2007. "Pricing of Ratchet equity-indexed annuities under stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 41(3), pages 317-338, November.
  4. João Pedro Vidal Nunes & Pedro Miguel Silva Prazeres, 2014. "Pricing Swaptions Under Multifactor Gaussian Hjm Models," Mathematical Finance, Wiley Blackwell, vol. 24(4), pages 762-789, October.
  5. Ping Wu & Robert J. Elliott, 2017. "A simple efficient approximation to price basket stock options with volatility smile," Annals of Finance, Springer, vol. 13(1), pages 1-29, February.
  6. Jianqiang Sun & Langnan Chen & Shiyin Li, 2013. "A Quasi‐Analytical Pricing Model for Arithmetic Asian Options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(12), pages 1143-1166, December.
  7. Sander Willems, 2018. "Asian Option Pricing with Orthogonal Polynomials," Papers 1802.01307, arXiv.org, revised Sep 2018.
  8. Lemmens, D. & Liang, L.Z.J. & Tempere, J. & De Schepper, A., 2010. "Pricing bounds for discrete arithmetic Asian options under Lévy models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(22), pages 5193-5207.
  9. Chad E. Hart & Bruce A. Babcock & Dermot J. Hayes, 2001. "Livestock Revenue Insurance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(6), pages 553-580, June.
  10. Choi, Hyun-Woo & Kim, In Joon & Kim, Tong Suk, 2002. "Contingent claims valuation of optional calling plan contracts in telephone industry," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 433-448.
  11. Yu, Fangping & Xiang, Zhiyuan & Wang, Xuanhe & Yang, Mo & Kuang, Haibo, 2023. "An innovative tool for cost control under fragmented scenarios: The container freight index microinsurance," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 169(C).
  12. Tian, Yisong S., 2013. "Ironing out the kinks in executive compensation: Linking incentive pay to average stock prices," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 415-432.
  13. Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Revisited Multi-moment Approximate Option," FMG Discussion Papers dp430, Financial Markets Group.
  14. Allen Abrahamson, 2002. "All Moments of Discrete and Continuous Arithmetic Averages on Brownian Paths: A Closed Form," Finance 0205004, University Library of Munich, Germany.
  15. Jean-Guy Simonato, 2011. "Johnson binomial trees," Quantitative Finance, Taylor & Francis Journals, vol. 11(8), pages 1165-1176.
  16. Lim, Kian Guan & Nomikos, Nikos K. & Yap, Nelson, 2019. "Understanding the fundamentals of freight markets volatility," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 130(C), pages 1-15.
  17. Devreese, J.P.A. & Lemmens, D. & Tempere, J., 2010. "Path integral approach to Asian options in the Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(4), pages 780-788.
  18. Мельников А.В. & Молибога М.М., 2003. "Расчеты Схем Гибкого Страхования," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 7(2), pages 139-172.
  19. Fusai, Gianluca & Meucci, Attilio, 2008. "Pricing discretely monitored Asian options under Levy processes," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2076-2088, October.
  20. Leunglung Chan & Song-Ping Zhu, 2014. "An exact and explicit formula for pricing Asian options with regime switching," Papers 1407.5091, arXiv.org.
  21. Peter G. Zhang, 1995. "An introduction to exotic options," European Financial Management, European Financial Management Association, vol. 1(1), pages 87-95, March.
  22. Susana Alvarez Diez & Samuel Baixauli & Luis Eduardo Girón, 2019. "Valoración de opciones call asiáticas Promedio Aritmético usando Taylor Estocástico 1.5," Working Papers 44, Faculty of Economics and Management, Pontificia Universidad Javeriana Cali.
  23. Calvet, Laurent E. & Célérier, Claire & Vallee, Boris, 2020. "Can Security Design Foster Household Risk-Taking?," CEPR Discussion Papers 14955, C.E.P.R. Discussion Papers.
  24. Bin Peng, 2006. "Pricing Geometric Asian Options under the CEV Process," International Economic Journal, Taylor & Francis Journals, vol. 20(4), pages 515-522.
  25. Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000 33, Society for Computational Economics.
  26. Keng‐Hsin Lo & Kehluh Wang & Ming‐Feng Hsu, 2008. "Pricing European Asian options with skewness and kurtosis in the underlying distribution," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(6), pages 598-616, June.
  27. Markus Diller & Thomas Späth & Johannes Lorenz, 2019. "Inheritance tax planning with uncertain future payroll expenses: an analytical solution to the optimal choice between full and standard exemption," Journal of Business Economics, Springer, vol. 89(5), pages 599-626, July.
  28. Wolfgang Drobetz & Tim Richter & Martin Wambach, 2012. "Dynamics of time-varying volatility in the dry bulk and tanker freight markets," Applied Financial Economics, Taylor & Francis Journals, vol. 22(16), pages 1367-1384, August.
  29. Pingping Zeng & Yue Kuen Kwok, 2016. "Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1375-1391, September.
  30. Asbjørn T. Hansen & Peter Løchte Jørgensen, 2000. "Analytical Valuation of American-Style Asian Options," Management Science, INFORMS, vol. 46(8), pages 1116-1136, August.
  31. Alziary, Benedicte & Decamps, Jean-Paul & Koehl, Pierre-Francois, 1997. "A P.D.E. approach to Asian options: analytical and numerical evidence," Journal of Banking & Finance, Elsevier, vol. 21(5), pages 613-640, May.
  32. Nielsen, J. Aase & Sandmann, Klaus, 2003. "Pricing Bounds on Asian Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(2), pages 449-473, June.
  33. Gormin A. A. & Kashtanov Y. N., 2008. "The weighted variance minimization for options pricing," Monte Carlo Methods and Applications, De Gruyter, vol. 13(5-6), pages 333-351, January.
  34. Renyuan Shao & Brian Roe, 2003. "The design and pricing of fixed‐ and moving‐window contracts: An application of Asian‐Basket option pricing methods to the hog‐finishing sector," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1047-1073, November.
  35. Ales Cerny & Ioannis Kyriakou, 2010. "An improved convolution algorithm for discretely sampled Asian options," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 381-389.
  36. Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang, 2018. "Most-Likely-Path In Asian Option Pricing Under Local Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-32, August.
  37. Paulson, Nicholas D. & Babcock, Bruce A. & Hart, Chad E. & Hayes, Dermot J., 2008. "An Insurance Approach to Risk Management in the Ethanol Industry," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 37(1), pages 1-12, April.
  38. Kwangil Bae, 2019. "Valuation and applications of compound basket options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 704-720, June.
  39. Jean-Yves Datey & Genevieve Gauthier & Jean-Guy Simonato, 2003. "The Performance of Analytical Approximations for the Computation of Asian Quanto-Basket Option Prices," Multinational Finance Journal, Multinational Finance Journal, vol. 7(1-2), pages 55-82, March-Jun.
  40. Hideharu Funahashi & Masaaki Kijima, 2013. "An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options　," KIER Working Papers 857, Kyoto University, Institute of Economic Research.
  41. Jacques Pézier & Johanna Scheller, 2012. "Average Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2012-05, Henley Business School, University of Reading.
  42. Aase Nielsen, J. & Sandmann, Klaus, 1995. "Equity-linked life insurance: A model with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 16(3), pages 225-253, July.
  43. Ioannis Kyriakou & Panos K. Pouliasis & Nikos C. Papapostolou & Nikos K. Nomikos, 2018. "Income uncertainty and the decision to invest in bulk shipping," European Financial Management, European Financial Management Association, vol. 24(3), pages 387-417, June.
  44. J. A. Nielsen & K. Sandmann, 1996. "The pricing of Asian options under stochastic interest rates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(3), pages 209-236.
  45. Ting He, 2020. "Nonparametric Predictive Inference for Asian options," Papers 2008.13082, arXiv.org.
  46. Milevsky, Moshe A. & Salisbury, Thomas S., 2006. "Financial valuation of guaranteed minimum withdrawal benefits," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 21-38, February.
  47. Peter A. Tinsley, 1998. "Short rate expectations, term premiums, and central bank use of derivatives to reduce policy uncertainty," Finance and Economics Discussion Series 1999-14, Board of Governors of the Federal Reserve System (U.S.).
  48. Tommaso Paletta & Arturo Leccadito & Radu Tunaru, 2013. "Pricing and Hedging Basket Options with Exact Moment Matching," Papers 1312.4443, arXiv.org.
  49. Jiri Hoogland & Dimitri Neumann, 2001. "Tradable Schemes," Finance 0105003, University Library of Munich, Germany.
  50. Lin, Chung-Gee & Chang, Chia-Chang, 2020. "Approximate analytic solution for Asian options with stochastic volatility," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  51. Wu, Yang-Che & Chung, San-Lin, 2010. "Catastrophe risk management with counterparty risk using alternative instruments," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 234-245, October.
  52. Chun-Sing Lau & Chi-Fai Lo, 2014. "The pricing of basket-spread options," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1971-1982, November.
  53. Robert Dubil, 2004. "The Optimality of Multi-stage Venture Capital Financing: An Option-Theoretic Approach," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 9(3), pages 1-14, Fall.
  54. Clouse James & Henderson Dale & Orphanides Athanasios & Small David H. & Tinsley P.A., 2003. "Monetary Policy When the Nominal Short-Term Interest Rate is Zero," The B.E. Journal of Macroeconomics, De Gruyter, vol. 3(1), pages 1-65, September.
  55. Paulson, Nicholas David, 2004. "Insuring uncertainty in value-added agriculture: ethanol," ISU General Staff Papers 2004010108000018198, Iowa State University, Department of Economics.
  56. Philippe Bertrand & Jean-Luc Prigent, 2015. "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Finance, Presses universitaires de Grenoble, vol. 36(2), pages 67-105.
  57. Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175, January.
  58. Benjamin Jourdain & Mohamed Sbai, 2007. "Exact retrospective Monte Carlo computation of arithmetic average Asian options," Papers 0704.1433, arXiv.org, revised Feb 2010.
  59. Jin-Chuan Duan & Jean-Guy Simonato, 1998. "Empirical Martingale Simulation for Asset Prices," Management Science, INFORMS, vol. 44(9), pages 1218-1233, September.
  60. Ziming Dong & Dan Tang & Xingchun Wang, 2023. "Pricing vulnerable basket spread options with liquidity risk," Review of Derivatives Research, Springer, vol. 26(1), pages 23-50, April.
  61. George Chacko & Sanjiv Ranjan Das, 1997. "Average Interest," NBER Working Papers 6045, National Bureau of Economic Research, Inc.
  62. Kenji Kamizono & Takeaki Kariya & Regina Liu & Teruo Nakatsuma, 2004. "A New Control Variate Estimator for an Asian Option," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(2), pages 143-160, June.
  63. Chad E. Hart & Dermot J. Hayes & Bruce A. Babcock, 2006. "Insuring Eggs in Baskets: Should the Government Insure Individual Risks?," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 54(1), pages 121-137, March.
  64. Espen Gaarder Haug, 2021. "Asian options with zero cost-of-carry: EEX options on freight and iron ore futures," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 191-195, June.
  65. Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
  66. Jaehyuk Choi, 2018. "Sum of all Black–Scholes–Merton models: An efficient pricing method for spread, basket, and Asian options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 627-644, June.
  67. Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
  68. Gobet, Emmanuel & Miri, Mohammed, 2014. "Weak approximation of averaged diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 475-504.
  69. Andrew Lyasoff, 2016. "Another look at the integral of exponential Brownian motion and the pricing of Asian options," Finance and Stochastics, Springer, vol. 20(4), pages 1061-1096, October.
  70. Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang, 2017. "Most-likely-path in Asian option pricing under local volatility models," Papers 1706.02408, arXiv.org, revised Aug 2018.
  71. Manuel Moreno & Javier F. Navas, 2003. "Australian Asian Options," Working Papers 28, Barcelona School of Economics.
  72. Dongdong Hu & Hasanjan Sayit & Frederi Viens, 2023. "Pricing basket options with the first three moments of the basket: log-normal models and beyond," Papers 2302.08041, arXiv.org, revised Feb 2023.
  73. Chen, Andrew H. & Bennett, James A. & McGuinness, Paul, 1996. "An analysis of capital guaranteed funds," International Review of Economics & Finance, Elsevier, vol. 5(3), pages 259-268.
  74. Chueh-Yung Tsao & Chao-Ching Liu, 2012. "Asian Options with Credit Risks: Pricing and Sensitivity Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S3), pages 96-115, September.
  75. Rupak Chatterjee & Zhenyu Cui & Jiacheng Fan & Mingzhe Liu, 2018. "An efficient and stable method for short maturity Asian options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1470-1486, December.
  76. Paolo Guasoni & Scott Robertson, 2008. "Optimal importance sampling with explicit formulas in continuous time," Finance and Stochastics, Springer, vol. 12(1), pages 1-19, January.
  77. Takahiko Fujita & Masahiro Ishii, 2010. "Valuation of a Repriceable Executive Stock Option," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(1), pages 1-18, March.
  78. Aprahamian, Hrayer & Maddah, Bacel, 2015. "Pricing Asian options via compound gamma and orthogonal polynomials," Applied Mathematics and Computation, Elsevier, vol. 264(C), pages 21-43.
  79. Yanhong Zhong & Guohe Deng, 2019. "Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate," Complexity, Hindawi, vol. 2019, pages 1-13, January.
  80. Nomikos, Nikos K. & Kyriakou, Ioannis & Papapostolou, Nikos C. & Pouliasis, Panos K., 2013. "Freight options: Price modelling and empirical analysis," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 51(C), pages 82-94.
  81. Kyungsub Lee, 2013. "Recursive formula for arithmetic Asian option prices," Papers 1311.4969, arXiv.org.
  82. Yijuan Liang & Xiuchuan Xu, 2019. "Variance and Dimension Reduction Monte Carlo Method for Pricing European Multi-Asset Options with Stochastic Volatilities," Sustainability, MDPI, vol. 11(3), pages 1-21, February.
  83. Jiri Hoogland & Dimitri Neumann, 2001. "Asians and cash dividends: Exploiting symmetries in pricing theory," Finance 0105002, University Library of Munich, Germany.
  84. Bara Kim & In-Suk Wee, 2014. "Pricing of geometric Asian options under Heston's stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 14(10), pages 1795-1809, October.
  85. Steve Easton & Richard Gerlach, 2007. "Modelling exchange‐traded barrier options traded in the Australian options market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(1), pages 109-122, March.
  86. Benhamou, Eric & Duguet, Alexandre, 2003. "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11), pages 2095-2114.
  87. Noorani, Idin & Mehrdoust, Farshid & Nasroallah, Abdelaziz, 2021. "A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 181(C), pages 1-15.
  88. Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens, 2011. "Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(1), pages 93-120, August.
  89. Fusai, Gianluca & Marena, Marina & Roncoroni, Andrea, 2008. "Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2033-2045, October.
  90. Tian-Shyr Dai & Yuh-Dauh Lyuu, 2002. "Efficient, exact algorithms for asian options with multiresolution lattices," Review of Derivatives Research, Springer, vol. 5(2), pages 181-203, May.
  91. Silvia Lavagnini, 2021. "Pricing Asian Options with Correlators," Papers 2104.11684, arXiv.org.
  92. Alexandridis, G. & Sahoo, S. & Visvikis, I., 2017. "Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 98(C), pages 82-104.
  93. Park, Jong Jun & Jang, Hyun Jin & Jang, Jiwook, 2020. "Pricing arithmetic Asian options under jump diffusion CIR processes," Finance Research Letters, Elsevier, vol. 34(C).
  94. Ladokhin, Sergiy & Borovkova, Svetlana, 2021. "Three-factor commodity forward curve model and its joint P and Q dynamics," Energy Economics, Elsevier, vol. 101(C).
  95. Susana Alvarez Diez & Samuel Baixauli & Luis Eduardo Girón, 2019. "Valoración de Opciones Call Asiáticas Promedio Aritmético bajo Movimiento Browniano Logístico," Working Papers 46, Faculty of Economics and Management, Pontificia Universidad Javeriana Cali.
  96. Andersson, Henrik, 1999. "Capital budgeting in a situation with variable utilisation of capacity - an example from the pulp industry," SSE/EFI Working Paper Series in Business Administration 1999:4, Stockholm School of Economics.
  97. He, Ting, 2023. "An imprecise pricing model for Asian options based on Nonparametric predictive inference," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  98. Stephen A. Easton, 1996. "Valuing Bonds with Embedded Average Price Options," Australian Journal of Management, Australian School of Business, vol. 21(1), pages 29-40, June.
  99. Foad Shokrollahi & Davood Ahmadian & Luca Vincenzo Ballestra, 2021. "Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps," Papers 2105.06999, arXiv.org.
  100. John Handley, 2000. "Variable Purchase Options," Review of Derivatives Research, Springer, vol. 4(3), pages 219-230, October.
  101. Nonnenmacher, Dirk Jens F. & Ru[ss], Jochen, 1999. "Arithmetic averaging equity-linked life insurance policies in Germany," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 23-35, September.
  102. Dai, Min & Li, Peifan & Zhang, Jin E., 2010. "A lattice algorithm for pricing moving average barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 542-554, March.
  103. Francisco Venegas Martínez, 2001. "Opciones, cobertura y procesos de difusión con saltos: Una aplicación a los títulos de Gcarso," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 16(2), pages 203-226.
  104. Jacques, Michel, 1997. "The Istanbul option: Where the standard European option becomes Asian," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 139-152, November.
  105. Nengjiu Ju & Rui Zhong, 2006. "Fourier transformation and the pricing of average-rate derivatives," Review of Derivatives Research, Springer, vol. 9(3), pages 187-212, November.
  106. Hoi Ying Wong & Ying Lok Cheung, 2004. "Geometric Asian options: valuation and calibration with stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 301-314.
  107. Chih-Chen Hsu & Chung-Gee Lin & Tsung-Jung Kuo, 2020. "Pricing of Arithmetic Asian Options under Stochastic Volatility Dynamics: Overcoming the Risks of High-Frequency Trading," Mathematics, MDPI, vol. 8(12), pages 1-16, December.
  108. Ewald, Christian-Oliver & Menkens, Olaf & Hung Marten Ting, Sai, 2013. "Asian and Australian options: A common perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1001-1018.
  109. Ning Cai & Steven Kou, 2012. "Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model," Operations Research, INFORMS, vol. 60(1), pages 64-77, February.
  110. Rongwen Wu & Michael C. Fu, 2003. "Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options," Operations Research, INFORMS, vol. 51(1), pages 52-66, February.
  111. Jourdain Benjamin & Sbai Mohamed, 2007. "Exact retrospective Monte Carlo computation of arithmetic average Asian options," Monte Carlo Methods and Applications, De Gruyter, vol. 13(2), pages 135-171, July.
  112. Hatem Ben-Ameur & Michèle Breton & Pierre L'Ecuyer, 2002. "A Dynamic Programming Procedure for Pricing American-Style Asian Options," Management Science, INFORMS, vol. 48(5), pages 625-643, May.
  113. Jinke Zhou & Xiaolu Wang, 2008. "Accurate closed‐form approximation for pricing Asian and basket options," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(4), pages 343-358, July.
  114. Naoki Kishimoto, 2004. "Pricing Path-Dependent Securities by the Extended Tree Method," Management Science, INFORMS, vol. 50(9), pages 1235-1248, September.
  115. Brignone, Riccardo & Kyriakou, Ioannis & Fusai, Gianluca, 2021. "Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 232-247.
  116. Chiu, Chun-Yuan & Dai, Tian-Shyr & Lyuu, Yuh-Dauh, 2015. "Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes," Applied Mathematics and Computation, Elsevier, vol. 252(C), pages 418-437.
  117. Gifty Malhotra & R. Srivastava & H. C. Taneja, 2019. "Pricing of the Geometric Asian Options Under a Multifactor Stochastic Volatility Model," Papers 1912.10640, arXiv.org.
  118. Dilip Madan, 2010. "Pricing and hedging basket options to prespecified levels of acceptability," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 607-615.
  119. Boyle, Phelim & Potapchik, Alexander, 2008. "Prices and sensitivities of Asian options: A survey," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 189-211, February.
  120. Manuel Moreno & Javier F. Navas, 2008. "Australian Options," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 69-93, June.
  121. An Chen & Markus Pelger & Klaus Sandmann, 2013. "New performance-vested stock option schemes," Applied Financial Economics, Taylor & Francis Journals, vol. 23(8), pages 709-727, April.
  122. John Cotter & Richard Roll, 2015. "A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 209-240, March.
  123. Driouchi, Tarik & Bennett, David & Simpson, Gary, 2010. "A path-dependent contingent-claims approach to capacity investments," European Journal of Operational Research, Elsevier, vol. 201(1), pages 319-323, February.
  124. Arturo Leccadito & Pietro Toscano & Radu S. Tunaru, 2012. "Hermite Binomial Trees: A Novel Technique For Derivatives Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-36.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.