Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution
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References listed on IDEAS
- De Schepper, A. & Teunen, M. & Goovaerts, M., 1994. "An analytical inversion of a Laplace transform related to annuities certain," Insurance: Mathematics and Economics, Elsevier, vol. 14(1), pages 33-37, April.
- 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.
- 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.
- Alziary, B. & Decamps, J-P. & Koehl, P-F., 1996. "A P.D.E. Approach to Asian Options: Analytical and Numerical Evidence," Papers 96.430, Toulouse - GREMAQ.
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