Exact retrospective Monte Carlo computation of arithmetic average Asian options
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References listed on IDEAS
- Hélyette Geman & Marc Yor, 1993. "Bessel Processes, Asian Options, And Perpetuities," Mathematical Finance, Wiley Blackwell, vol. 3(4), pages 349-375.
- Mark Broadie & Paul Glasserman, 1996. "Estimating Security Price Derivatives Using Simulation," Management Science, INFORMS, vol. 42(2), pages 269-285, February.
- Turnbull, Stuart M. & Wakeman, Lee Macdonald, 1991. "A Quick Algorithm for Pricing European Average Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(03), pages 377-389, September.
- Levy, Edmond, 1992. "Pricing European average rate currency options," Journal of International Money and Finance, Elsevier, vol. 11(5), pages 474-491, October.
- Vorst, Ton, 1992. "Prices and hedge ratios of average exchange rate options," International Review of Financial Analysis, Elsevier, vol. 1(3), pages 179-193.
- Paul Fearnhead & Omiros Papaspiliopoulos & Gareth O. Roberts, 2008. "Particle filters for partially observed diffusions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(4), pages 755-777.
- Tina Hviid Rydberg, 1997. "A note on the existence of unique equivalent martingale measures in a Markovian setting," Finance and Stochastics, Springer, vol. 1(3), pages 251-257.
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