On the Hedging Portfolio of Asian Options
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- Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000 33, Society for Computational Economics.
- repec:spr:compst:v:74:y:2011:i:1:p:93-120 is not listed on IDEAS
- Simon, S. & Goovaerts, M. J. & Dhaene, J., 2000. "An easy computable upper bound for the price of an arithmetic Asian option," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 175-183, May.
- Schepper, Ann De & Heijnen, Bart, 2007. "Distribution-free option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 179-199, March.
- Manuel Moreno & Javier F. Navas, 2003. "Australian Asian Options," Working Papers 28, Barcelona Graduate School of Economics.
- repec:eee:apmaco:v:264:y:2015:i:c:p:21-43 is not listed on IDEAS
- Benhamou, Eric & Duguet, Alexandre, 2003. "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2095-2114, September.
- 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.
- 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.
- Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01159741, HAL.
- E. Benhamou, 2001. "Fast Fourier Transform for discrete Asian Options," Computing in Economics and Finance 2001 6, Society for Computational Economics.
- Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October.
- Nielsen, J.A. & Sandmann, K., 1998. "Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options," Discussion Paper Serie B 431, University of Bonn, Germany.
- Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Documents de travail du Centre d'Economie de la Sorbonne 15015, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- 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.
- 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.
- repec:kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9125-z is not listed on IDEAS
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