On the qualitative effect of volatility and duration on prices of Asian options
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References listed on IDEAS
- Jagannathan, Ravi, 1984. "Call options and the risk of underlying securities," Journal of Financial Economics, Elsevier, vol. 13(3), pages 425-434, September.
- Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi, 1999. "Applications of Malliavin calculus to Monte Carlo methods in finance," Finance and Stochastics, Springer, vol. 3(4), pages 391-412.
- Hélyette Geman & Marc Yor, 1993. "Bessel Processes, Asian Options, And Perpetuities," Mathematical Finance, Wiley Blackwell, vol. 3(4), pages 349-375, October.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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- Chung, Shing Fung & Wong, Hoi Ying, 2014. "Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 130-140.
- 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.
- Ewald, Christian-Oliver & Yor, Marc, 2015. "On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options," Journal of Economic Dynamics and Control, Elsevier, vol. 59(C), pages 22-36.
- Dan Pirjol & Lingjiong Zhu, 2018. "Sensitivities Of Asian Options In The Black–Scholes Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-25, February.
- 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.
- Jan Vecer, 2013. "Asian options on the harmonic average," Quantitative Finance, Taylor & Francis Journals, vol. 14(8), pages 1315-1322, September.
- Bogso, Antoine Marie, 2015. "MRL order, log-concavity and an application to peacocks," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1282-1306.
- Ting, Sai Hung Marten & Ewald, Christian-Oliver & Wang, Wen-Kai, 2013. "On the investment–uncertainty relationship in a real option model with stochastic volatility," Mathematical Social Sciences, Elsevier, vol. 66(1), pages 22-32.
- repec:spr:compst:v:74:y:2011:i:1:p:93-120 is not listed on IDEAS
- Dan Pirjol & Lingjiong Zhu, 2016. "Short Maturity Asian Options in Local Volatility Models," Papers 1609.07559, arXiv.org.
More about this item
KeywordsAsian options Volatility Vega Duration Qualitative risk-management;
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